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Characteristics of the Korean stock market correlations

Citations

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Cited by:

  1. Chun-Xiao Nie, 2021. "Studying the correlation structure based on market geometry," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(2), pages 411-441, April.
  2. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2011. "The Japanese economy in crises: A time series segmentation study," Economics Discussion Papers 2011-24, Kiel Institute for the World Economy (IfW Kiel).
  3. Nie, Chun-Xiao, 2022. "Analysis of critical events in the correlation dynamics of cryptocurrency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 586(C).
  4. Chatterjee, Soumya & Mukherjee, Indranil & Barat, P., 2018. "Analysis of the behaviour of the detrended BSE sensex data," Chaos, Solitons & Fractals, Elsevier, vol. 113(C), pages 186-196.
  5. Djauhari, Maman Abdurachman & Gan, Siew Lee, 2015. "Optimality problem of network topology in stocks market analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 108-114.
  6. Kazemilari, Mansooreh & Mardani, Abbas & Streimikiene, Dalia & Zavadskas, Edmundas Kazimieras, 2017. "An overview of renewable energy companies in stock exchange: Evidence from minimal spanning tree approach," Renewable Energy, Elsevier, vol. 102(PA), pages 107-117.
  7. Peralta, Gustavo & Zareei, Abalfazl, 2016. "A network approach to portfolio selection," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 157-180.
  8. Linda Margarita Medina Herrera & Ernesto Armando Pacheco Velázquez, 2012. "Distances And Networks: The Case Of Mexico," Accounting & Taxation, The Institute for Business and Finance Research, vol. 4(2), pages 39-48.
  9. Výrost, Tomáš & Lyócsa, Štefan & Baumöhl, Eduard, 2015. "Granger causality stock market networks: Temporal proximity and preferential attachment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 427(C), pages 262-276.
  10. Tabak, Benjamin M. & Luduvice, André Victor D. & Cajueiro, Daniel O., 2011. "Modeling default probabilities: The case of Brazil," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 513-534, October.
  11. Kartikay Gupta & Niladri Chatterjee, 2020. "Examining Lead-Lag Relationships In-Depth, With Focus On FX Market As Covid-19 Crises Unfolds," Papers 2004.10560, arXiv.org, revised May 2020.
  12. 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, vol. 391(4), pages 1354-1360.
  13. Chu, J. & Nadarajah, S., 2017. "A statistical analysis of UK financial networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 445-459.
  14. Kantar, Ersin & Aslan, Alper & Deviren, Bayram & Keskin, Mustafa, 2016. "Hierarchical structure of the countries based on electricity consumption and economic growth," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 454(C), pages 1-10.
  15. 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, vol. 388(7), pages 1137-1149.
  16. Kocheturov, A. & Batsyn, M. & Pardalos, P., 2015. "Dynamics of Cluster Structures in Stock Market Networks," Journal of the New Economic Association, New Economic Association, vol. 28(4), pages 12-30.
  17. 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 (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-81.
  18. Wang, Gang-Jin & Xie, Chi & Han, Feng & Sun, Bo, 2012. "Similarity measure and topology evolution of foreign exchange markets using dynamic time warping method: Evidence from minimal spanning tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(16), pages 4136-4146.
  19. Sitabhra Sinha & Raj Kumar Pan, 2007. "Uncovering the Internal Structure of the Indian Financial Market: Cross-correlation behavior in the NSE," Papers 0704.2115, arXiv.org.
  20. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
  21. Yao Hongxing & Zhou Kejuan, 2016. "Empirical Analysis of AH-Shares," Journal of Systems Science and Information, De Gruyter, vol. 4(4), pages 343-353, August.
  22. Radhakrishnan, Srinivasan & Duvvuru, Arjun & Sultornsanee, Sivarit & Kamarthi, Sagar, 2016. "Phase synchronization based minimum spanning trees for analysis of financial time series with nonlinear correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 259-270.
  23. Kalyagin, V. & Koldanov, A. & Koldanov, P. & Pardalos, P., 2017. "Statistical Procedures for Stock Markets Network Structures Identification," Journal of the New Economic Association, New Economic Association, vol. 35(3), pages 33-52.
  24. Kim, Jang Ho & Han, Jiwoon & Kang, Taehyeon & Fabozzi, Frank J., 2023. "A machine learning approach for comparing the largest firm effect," Emerging Markets Review, Elsevier, vol. 54(C).
  25. Tristan Millington & Mahesan Niranjan, 2020. "Construction of Minimum Spanning Trees from Financial Returns using Rank Correlation," Papers 2005.03963, arXiv.org, revised Nov 2020.
  26. 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, vol. 389(16), pages 3240-3249.
  27. Biplab Bhattacharjee & Muhammad Shafi & Animesh Acharjee, 2016. "Investigating the Influence Relationship Models for Stocks in Indian Equity Market: A Weighted Network Modelling Study," PLOS ONE, Public Library of Science, vol. 11(11), pages 1-33, November.
  28. Yin, Yi & Shang, Pengjian, 2013. "Modified DFA and DCCA approach for quantifying the multiscale correlation structure of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6442-6457.
  29. Millington, Tristan & Niranjan, Mahesan, 2021. "Construction of minimum spanning trees from financial returns using rank correlation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
  30. Majapa, Mohamed & Gossel, Sean Joss, 2016. "Topology of the South African stock market network across the 2008 financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 445(C), pages 35-47.
  31. Gustavo Peralta, 2015. "Network-based Measures as Leading Indicators of Market Instability: The case of the Spanish Stock," CNMV Working Papers CNMV Working Papers no 59, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
  32. Zhang, Yiting & Lee, Gladys Hui Ting & Wong, Jian Cheng & Kok, Jun Liang & Prusty, Manamohan & Cheong, Siew Ann, 2011. "Will the US economy recover in 2010? A minimal spanning tree study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2020-2050.
  33. Nie, Chun-Xiao & Song, Fu-Tie, 2023. "Stable versus fragile community structures in the correlation dynamics of Chinese industry indices," Chaos, Solitons & Fractals, Elsevier, vol. 167(C).
  34. Kazemilari, Mansooreh & Djauhari, Maman Abdurachman, 2015. "Correlation network analysis for multi-dimensional data in stocks market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 62-75.
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