Information flow between composite stock index and individual stocks

Okyu Kwon and Jae-Suk Yang

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 12, 2851-2856

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.

Keywords: Transfer entropy; Information flow; Econophysics; Stock market (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (49)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:12:p:2851-2856

DOI: 10.1016/j.physa.2008.01.007

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