Choi, JS; Kim, K; Yoon, SM; Chang, KH; Lee, CC. "Zipf's Law distributions in Korean financial markets" Journal of the Korean Physical Society 47 (1). p.171-173. July 2005.

[Eugene Garfield]

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TITLE:          Zipf's law distributions in Korean financial markets
                (Article, English)
AUTHOR:         Choi, JS; Kim, K; Yoon, SM; Chang, KH; Lee, CC
SOURCE:         JOURNAL OF THE KOREAN PHYSICAL SOCIETY 47 (1). JUL 2005.
                p.171-173 KOREAN PHYSICAL SOC, SEOUL

SEARCH TERM(S):  ZIPF*  item_title; J KOREAN PHYS SOC  source_abbrev_20

KEYWORDS:       Zipf's law; power law; KSE; KOSDAQ
KEYWORDS+:       SCALING BEHAVIOR; COMPANIES; GROWTH; INCOME

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 (p -> small) and -1.33 (p -> 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 beta = -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).

AUTHOR ADDRESS: JS Choi, Pukyong Natl Univ, Dept Phys, Pusan 608737, South
                Korea