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Temporal Evolution of the Return Distribution in the Korean Stock Market
채승병,문희태,양재석,정우성 한국물리학회 2006 THE JOURNAL OF THE KOREAN PHYSICAL SOCIETY Vol.48 No.II
We study the temporal evolution of the return distribution of the Korean Composite Stock Price Index (KOSPI) for the period from 1995 to 2003. The high-frequency return distribution of the KOSPI has become narrower to an exponential and finally to a Gaussian since 2000 without increasing the return interval. This crossover behavior shows that the time scale of the Korean stock market has decreased significantly since the Asian financial crisis in 1997. We have applied the Heston model with stochastic volatility to describe the exponential-to-Gaussian crossover.