Information transfer network of global market indices

Yup Kim, Jinho Kim and Soon-Hyung Yook

Physica A: Statistical Mechanics and its Applications, 2015, vol. 430, issue C, 39-45

Abstract: We study the topological properties of the information transfer networks (ITN) of the global financial market indices for six different periods. ITN is a directed weighted network, in which the direction and weight are determined by the transfer entropy between market indices. By applying the threshold method, it is found that ITN undergoes a crossover from the complete graph to a small-world (SW) network. SW regime of ITN for a global crisis is found to be much more enhanced than that for ordinary periods. Furthermore, when ITN is in SW regime, the average clustering coefficient is found to be synchronized with average volatility of markets. We also compare the results with the topological properties of correlation networks.

Keywords: Econophysics; Complex networks (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:430:y:2015:i:c:p:39-45

DOI: 10.1016/j.physa.2015.02.081

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