Zipf’s Law Distributions in Korean Financial Markets
Document Type
Article
Department or Administrative Unit
Management
Publication Date
7-15-2005
Abstract
We investigate the rank distribution and the cumulative probability for stock prices, and the probability density of price returns for stocks traded the Korean Stock Exchange (KSE) and the Korean Securities Dealers Automated Quotations (KOSDAQ) market. We show that the upper tails of the distributions can be fitted with a power-law and find that the rank distribution scales approximately as a power law with exponents $alpha = -0.99$ ($pightarrow$small) and $-1.33$ ($pightarrow$large) for the KSE and $alpha~=-1.31$ for the KOSDAQ. These values are similar to those of stock prices traded on the Tokyo Stock Exchange (TSE). In addition, the cumulative probability distribution follows a power law with the scaling exponent $eta = -1.23$ (KSE) or $-1.45$ (KOSDAQ). In particular, the evidence shows that the probability density of normalized price returns for two kinds of assets almost has the form of an exponential function, which is similar to the result for the TSE and the New York Stock Exchange (NYSE).
Recommended Citation
Choi, J.S., Kim, K., Yoon, S.M., Chang, K.H., & Lee, C.C. (2005). Zipf’s Law Distributions in Korean Financial Markets. Journal of the Korean Physical Society 47(1), 171-173.
Journal
Journal of the Korean Physical Society
Rights
Copyright © The Korean Physical Society.
Comments
This article was originally published in Journal of the Korean Physical Society. The full-text article from the publisher can be found here.
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