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Information flow between composite stock index and individual stocks
- Authors
- Kwon, Okyu; Yang, Jae-Suk
- Issue Date
- 1-5월-2008
- Publisher
- ELSEVIER SCIENCE BV
- Keywords
- transfer entropy; information flow; econophysics; stock market
- Citation
- PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.387, no.12, pp.2851 - 2856
- Indexed
- SCIE
SCOPUS
- Journal Title
- PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
- Volume
- 387
- Number
- 12
- Start Page
- 2851
- End Page
- 2856
- ISSN
- 0378-4371
- Abstract
- We investigate the strength and the direction of information transfer in the US stock market between the composite stock price index of stock market and prices of individual stocks using the transfer entropy. Through the directionality of the information transfer, we find that individual stocks are influenced by the index of the market. (C) 2008 Elsevier B.V. All rights reserved.
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