Group dynamics of the Japanese market
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.
Volume (Year): 387 (2008)
Issue (Month): 2 ()
|Contact details of provider:|| Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/|