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Information flow between stock indices

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  • Okyu Kwon
  • Jae-Suk Yang

Abstract

Using transfer entropy, we observed the strength and direction of information flow between stock indices. We uncovered that the biggest source of information flow is America. In contrast, the Asia/Pacific region the biggest is receives the most information. According to the minimum spanning tree, the GSPC is located at the focal point of the information source for world stock markets.

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  • Okyu Kwon & Jae-Suk Yang, 2008. "Information flow between stock indices," Papers 0802.1747, arXiv.org.
    • Handle: RePEc:arx:papers:0802.1747
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    File URL: http://arxiv.org/pdf/0802.1747
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    1. Bouchaud, J.-Ph, 2000. "Elements for a theory of financial risks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 285(1), pages 18-28.
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