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Information flow between stock indices
- Authors
- Kwon, O.; Yang, J. -S.
- Issue Date
- 6월-2008
- Publisher
- IOP PUBLISHING LTD
- Citation
- EPL, v.82, no.6
- Indexed
- SCIE
SCOPUS
- Journal Title
- EPL
- Volume
- 82
- Number
- 6
- ISSN
- 0295-5075
- 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.
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