Scaling Properites of Price Changes for Korean Stock Indices

TL;DR

This paper analyzes the statistical properties of returns for Korean stock indices, revealing that their central return distributions fit Lorentzian models while tails follow power laws, differing from Levy stable distributions.

Contribution

It provides a detailed empirical analysis of return distributions for KOSPI and KOSDAQ, highlighting their deviation from Levy stable laws and characterizing their tail behavior.

Findings

Central return distributions fit Lorentzian functions.

Tail parts follow power law behavior.

Returns are outside Levy stable distribution.

Abstract

We consider returns of two Korean stock market indices, KOSPI and KOSDAQ index. Central parts of the probability distribution function of returns are well fitted by the Lorentzian distribution function. However, tail parts of the probability distribution function follow a power law behavior well. We found that the probability distribution function of returns for both KOSPI and KOSDAQ, is outside the L\'{e}vy stable distribution.