The impact of the financial crisis on transatlantic information flows: An intraday analysis

Thomas Dimpfl and Franziska J. Peter

No 70, University of Tübingen Working Papers in Business and Economics from University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics

Abstract: We use intraday stock index return data from both sides of the Atlantic during overlapping trading hours to analyze the dynamic interactions between European and US stock markets. We are particularly interested in differences of information transmission before, during, and after the financial crisis of 2007 to 2009. Our analysis draws on the concept of Rényi transfer entropy to allow for a flexible and model-free empirical assessment of linear as well as non-linear market dependencies. Thereby the importance of extreme (tail) observations of the return distributions is highlighted. The results show significant bi-directional information transfer between the US and the European markets with a dominant flow from the US market. During the crisis dynamic interactions increase. At the same time information flows from European markets increase. The US market does not entirely regain its leading role in the after crisis period.

Keywords: stock market indices; information flows; financial crisis; Rényi transfer entropy; transatlantic information transmission (search for similar items in EconPapers)
JEL-codes: C58 G14 G15 (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-mst
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Citations: View citations in EconPapers (42)

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Journal Article: The impact of the financial crisis on transatlantic information flows: An intraday analysis (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:tuewef:70

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