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Information flow between composite stock index and individual stocks

Author

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  • Kwon, Okyu
  • Yang, Jae-Suk

Abstract

We investigate the strength and the direction of information transfer in the US stock market between the composite stock price index of stock market and prices of individual stocks using the transfer entropy. Through the directionality of the information transfer, we find that individual stocks are influenced by the index of the market.

Suggested Citation

  • Kwon, Okyu & Yang, Jae-Suk, 2008. "Information flow between composite stock index and individual stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2851-2856.
    • Handle: RePEc:eee:phsmap:v:387:y:2008:i:12:p:2851-2856
    DOI: 10.1016/j.physa.2008.01.007
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