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.

• Publication year

  2007

• Venue

  Physica A-statistical Mechanics and Its Applications

• Publication date

  2007-08-03

• Fields of study

  Physics, Economics

• Identifiers
  DOI 10.1016/j.physa.2007.09.022arXiv 0708.0562
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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