Information flow between stock indices

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, while most receivers are in the Asia$/$Pacific region. According to the minimum spanning tree, the Standard and Poor's 5...

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Bibliographic Details
Published inEurophysics letters Vol. 82; no. 6; pp. 68003 - p1-68003-p4
Main Authors Kwon, O, Yang, J.-S
Format Journal Article
LanguageEnglish
Published IOP Publishing 01.06.2008
EDP Sciences
Subjects
89.65.Gh
89.70.Cf
89.75.Fb
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Summary: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, while most receivers are in the Asia$/$Pacific region. According to the minimum spanning tree, the Standard and Poor's 500 Index (GSPC) is located at the focal point of the information source for world stock markets.
Bibliography:istex:8EA5C533010BE3111F0D429F451F41CD9AABB39F
ark:/67375/80W-SN56NN86-T
publisher-ID:epl11001
ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0295-5075
1286-4854
DOI:10.1209/0295-5075/82/68003