Information flow between stock indices

Okyu Kwon and Jae-Suk Yang

Papers from arXiv.org

Abstract: 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. In contrast, the Asia/Pacific region the biggest is receives the most information. According to the minimum spanning tree, the GSPC is located at the focal point of the information source for world stock markets.

Date: 2008-02
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