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Increasing market efficiency in the stock markets


Author Info

  • Jae-Suk Yang
  • Wooseop Kwak
  • Taisei Kaizoji
  • In-mook Kim



We study the temporal evolutions of three stock markets; Standard and Poor's 500 index, Nikkei 225 Stock Average, and the Korea Composite Stock Price Index. We observe that the probability density function of the log-return has a fat tail but the tail index has been increasing continuously in recent years. We have also found that the variance of the autocorrelation function, the scaling exponent of the standard deviation, and the statistical complexity decrease, but that the entropy density increases as time goes over time. We introduce a modified microscopic spin model and simulate the model to confirm such increasing and decreasing tendencies in statistical quantities. These findings indicate that these three stock markets are becoming more efficient. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2008

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Bibliographic Info

Article provided by Springer in its journal The European Physical Journal B.

Volume (Year): 61 (2008)
Issue (Month): 3 (02)
Pages: 389-389

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Handle: RePEc:spr:eurphb:v:61:y:2008:i:3:p:389-389

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Cited by:
  1. Kaizoji, Taisei, 2010. "Stock volatility in the periods of booms and stagnations," MPRA Paper 23727, University Library of Munich, Germany.
  2. Kantar, Ersin & Keskin, Mustafa, 2013. "The relationships between electricity consumption and GDP in Asian countries, using hierarchical structure methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5678-5684.


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