Effects of time dependency and efficiency on information flow in financial markets

Cheoljun Eom, Woo-Sung Jung, Sunghoon Choi, Gabjin Oh and Seunghwan Kim

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 21, 5219-5224

Abstract: We investigated financial market data to determine which factors affect information flow between stocks. Two factors, the time dependency and the degree of efficiency, were considered in the analysis of Korean, the Japanese, the Taiwanese, the Canadian, and US market data. We found that the frequency of the significant information decreases as the time interval increases. However, no significant information flow was observed in the time series from which the temporal time correlation was removed. These results indicated that the information flow between stocks evidences time-dependency properties. Furthermore, we discovered that the difference in the degree of efficiency performs a crucial function in determining the direction of the significant information flow.

Keywords: Econophysics; Information flow; Time dependency; Efficiency; Approximate entropy (search for similar items in EconPapers)
Date: 2008
References: View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:21:p:5219-5224

DOI: 10.1016/j.physa.2008.05.054

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