Information flow between composite stock index and individual stocks

Kwon, Okyu; Yang, Jae-Suk

doi:10.1016/j.physa.2008.01.007

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Information flow between composite stock index and individual stocks

Kwon, Okyu;
Yang, Jae-Suk

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WEB OF SCIENCE

83

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87

초록

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.

키워드

transfer entropy; information flow; econophysics; stock market; RETURN DISTRIBUTION; FINANCIAL-MARKETS; MODEL

제목: Information flow between composite stock index and individual stocks

저자: Kwon, Okyu; Yang, Jae-Suk

DOI: 10.1016/j.physa.2008.01.007

발행일: 2008-05-01

유형: Article

저널명: Physica A: Statistical Mechanics and its Applications

권: 387

호: 12

페이지: 2851 ~ 2856