Abstract
We analyze the structure of cross-correlations in two Korean stock markets, the Korea Composite Stock Price Index (KOSPI) and the Korea Securities Dealers Automated Quotation (KOSDAQ). We investigate a remarkable agreement between the theoretical prediction and the empirical data concerning the density of eigenvalues in the KOSPI and the KOSDAQ. The research for the structure of group correlations undress the market-wide effect by using the Markowitz multi-factor model and network-based approach. In particular, the KOSPI has a dense correlation besides overall group correlations for stock entities, whereas both correlations are less for the KOSDAQ than for the KOSPI.
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