Journal of Korean Institute of Industrial Engineers (대한산업공학회지)

Korean Institute of Industrial Engineers (대한산업공학회)
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A Dynamic Analysis on the Competition Relationships in Korean Stock Market Using Lotka-Volterra Model

Lotka-Volterra 모형을 이용한 국내 주식시장의 경쟁관계 동태적 분석

  • Lee, Sung Joon (Department of Industrial Engineering, Seoul National University) ;
  • Lee, Deok-Joo (College of Advanced Technology, Kyunghee University) ;
  • Oh, Hyungsik (Department of Industrial Engineering, Seoul National University)
  • 이성준 (서울대학교 산업공학과) ;
  • 이덕주 (경희대학교 테크노공학대학) ;
  • 오형식 (서울대학교 산업공학과)
  • Published : 2003.03.31
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Abstract

The purpose of this paper is an attempt to analyze the dynamic relationship between KSE and KOSDAQ, two competing markets in Korean stock market, in the viewpoint of competition. Lotka-Volterra model, one of well-known competitive diffusion model, is adopted to represent the competitive situations of Korean stock market and it is estimated using daily empirical index data of KSE and KOSDAQ during 1997~2001. The results show that there existed a predator-prey relationship between two markets in which KSE acted as a predator right after the emergence of KOSDAQ. This interaction was altered to a symbiotic relationship and finally to the pure competition relationship. We also perform an equilibrium analysis of the estimated Lotka-Volterra equations and, as a result, it is found that there is a market index equilibrium point that would be stable in the latest relationship.

Keywords

References

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