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Group dynamics of the Japanese market

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  • Woo-Sung Jung
  • Okyu Kwon
  • Fengzhong Wang
  • Taisei Kaizoji
  • Hie-Tae Moon
  • H. Eugene Stanley

Abstract

We investigated the network structures of the Japanese stock market through the minimum spanning tree. We defined grouping coefficient to test the validity of conventional grouping by industrial categories, and found a decreasing in trend for the coefficient. This phenomenon supports the increasing external influences on the market due to the globalization. To reduce this influence, we used S&P500 index as the international market and removed its correlation with every stock. We found stronger grouping in this measurement, compared to the original analysis, which agrees with our assumption that the international market influences to the Japanese market.

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File URL: http://arxiv.org/pdf/0708.0562
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Bibliographic Info

Paper provided by arXiv.org in its series Papers with number 0708.0562.

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Date of creation: Aug 2007
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Publication status: Published in Physica A 387(2-3), 537-542 (2008)
Handle: RePEc:arx:papers:0708.0562

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Web page: http://arxiv.org/

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Cited by:
  1. Tsai, Kuo-Ting & Lih, Jiann-Shing & Ko, Jing-Yuan, 2012. "The overnight effect on the Taiwan stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 391(24), pages 6497-6505.
  2. Tabak, Benjamin M. & Serra, Thiago R. & Cajueiro, Daniel O., 2010. "Topological properties of stock market networks: The case of Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 389(16), pages 3240-3249.
  3. Tabak, Benjamin M. & Serra, Thiago R. & Cajueiro, Daniel O., 2009. "The expectation hypothesis of interest rates and network theory: The case of Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 388(7), pages 1137-1149.
  4. Lee, Junghoon & Youn, Janghyuk & Chang, Woojin, 2012. "Intraday volatility and network topological properties in the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 391(4), pages 1354-1360.
  5. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2012. "The Japanese economy in crises: A time series segmentation study," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 6(5), pages 1-81.
  6. Miƛkiewicz, Janusz & Ausloos, Marcel, 2010. "Has the world economy reached its globalization limit?," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 389(4), pages 797-806.

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