Herd Behavior of the Returns in Financial Markets
The herd behaviors of returns for the won-dollar exchange rate and the KOSPI are analyzed in Korean financial markets. It is obtained that the probability distribution P(R) of returns R for three types of herding parameter satisfies a power-taw behavior with the exponents β=2.2(the won-dollar exchange rate) and 2.4(the KOSPI). The crash regime in which P(R) increases with the increasing R appears when the herding parameter h satisfies h*=2.33, since the active state of the transaction exists to decrease for h＞2.33. Especially, we find that the distribution of normalized returns shows a crossover to a Gaussian distribution when the time step △t=252 is used. Our results will be also compared to the other well-known analyses.
Kyungsik Kim Seong-Min Yoon Yup Kim
Department of Physics, Pukyong National University, Pusan 608-737, Korea Division of Economics, Pukyong National University, Pusan 608-737, Korea Department of Physics and Research Institute for Basic Sciences, Kyung-Hee University, Seoul 130-701
国际会议
上海
英文
104-109
2003-11-09（万方平台首次上网日期，不代表论文的发表时间）