  In this paper, we studied the dynamics of the log-return distribution of the
Korean Composition Stock Price Index (KOSPI) from 1992 to 2004. Based on the
microscopic spin model, we found that while the index during the late 1990s
showed a power-law distribution, the distribution in the early 2000s was
exponential. This change in distribution shape was caused by the duration and
velocity, among other parameters, of the information that flowed into the
market.
