Information flow between stock indices
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kwon, O. | - |
dc.contributor.author | Yang, J. -S. | - |
dc.date.accessioned | 2021-09-09T07:45:05Z | - |
dc.date.available | 2021-09-09T07:45:05Z | - |
dc.date.created | 2021-06-10 | - |
dc.date.issued | 2008-06 | - |
dc.identifier.issn | 0295-5075 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/123427 | - |
dc.description.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, 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. Copyright (C) EPLA, 2008. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | IOP PUBLISHING LTD | - |
dc.subject | FINANCIAL-MARKETS | - |
dc.subject | SPIN MODEL | - |
dc.subject | DYNAMICS | - |
dc.subject | PRICE | - |
dc.subject | RETURNS | - |
dc.title | Information flow between stock indices | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Yang, J. -S. | - |
dc.identifier.doi | 10.1209/0295-5075/82/68003 | - |
dc.identifier.scopusid | 2-s2.0-79051469552 | - |
dc.identifier.wosid | 000258785400031 | - |
dc.identifier.bibliographicCitation | EPL, v.82, no.6 | - |
dc.relation.isPartOf | EPL | - |
dc.citation.title | EPL | - |
dc.citation.volume | 82 | - |
dc.citation.number | 6 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Physics | - |
dc.relation.journalWebOfScienceCategory | Physics, Multidisciplinary | - |
dc.subject.keywordPlus | FINANCIAL-MARKETS | - |
dc.subject.keywordPlus | SPIN MODEL | - |
dc.subject.keywordPlus | DYNAMICS | - |
dc.subject.keywordPlus | PRICE | - |
dc.subject.keywordPlus | RETURNS | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
(02841) 서울특별시 성북구 안암로 14502-3290-1114
COPYRIGHT © 2021 Korea University. All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.