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Group dynamics of the Japanese market

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

We investigated the network structures of the Japanese stock market using the minimum spanning tree. We defined a grouping coefficient to test the validity of the 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 globalization. To reduce this influence, we used S&P500 index as the international market and removed its correlation with every stock. We found stronger a grouping in this measurement when 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://www.sciencedirect.com/science/article/pii/S0378437107010114
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Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 387 (2008)
Issue (Month): 2 ()
Pages: 537-542

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Handle: RePEc:eee:phsmap:v:387:y:2008:i:2:p:537-542
Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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