Information flow between stock indices
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, while most receivers are in the Asia/Pacific region. According to the minimum spanning tree, the Standard and Poor's 500 Index (GSPC) is located at the focal point of the information source for world stock markets.
- Publisher
- EPL ASSOCIATION
- Issue Date
- 2008-06
- Language
- English
- Article Type
- Article
- Citation
EPL, v.82, no.6
- ISSN
- 0295-5075
- Appears in Collection
- RIMS Journal Papers
- Files in This Item
- There are no files associated with this item.
This item is cited by other documents in WoS
| ⊙ Detail Information in WoSⓡ | Click to see |  |
| ⊙ Cited 118 items in WoS | Click to see citing articles in |  |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.