Information flow between stock indices

By O. Kwon, Jae-Suk Yang. 2008

164 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Management Science and Operations Research, Signal Processing

View Paper: https://www.semanticscholar.org/paper/c9aae914845406b15a7d0043294da63cebc33f13

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Luciano Zunino
2. Osvaldo Anibal Rosso
3. D. Pérez
4. Massimiliano Zanin
5. Benjamin Miranda Tabak
6. K. Lim
7. F. Serinaldi
8. R. Brooks

In Management Science and Operations Research

1. Luciano Zunino
2. Benjamin Miranda Tabak
3. Osvaldo Anibal Rosso

In Signal Processing

1. Luciano Zunino
2. Benjamin Miranda Tabak
3. Osvaldo Anibal Rosso

Citations in the corpus

• Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency (2010, background): “We should remark that the Shannon, Renyi, Tsallis [31,33,34], Approximate [21,35] and transfer [36] entropies, and the Shannon entropy local approach [37] have been proposed to quantify different aspects of financial time series.”