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Information flow between composite stock index and individual stocks

Citations

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Cited by:

  1. Nie, Chun-Xiao, 2023. "Time-varying characteristics of information flow networks in the Chinese market: An analysis based on sector indices," Finance Research Letters, Elsevier, vol. 54(C).
  2. Lim, Kyuseong & Kim, Sehyun & Kim, Soo Yong, 2017. "Information transfer across intra/inter-structure of CDS and stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 118-126.
  3. Scaramozzino, Roberta & Cerchiello, Paola & Aste, Tomaso, 2021. "Information theoretic causality detection between financial and sentiment data," LSE Research Online Documents on Economics 110903, London School of Economics and Political Science, LSE Library.
  4. Dimpfl, Thomas & Peter, Franziska J., 2014. "The impact of the financial crisis on transatlantic information flows: An intraday analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 1-13.
  5. Yang, Pengbo & Shang, Pengjian & Lin, Aijing, 2017. "Financial time series analysis based on effective phase transfer entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 398-408.
  6. Banerjee, Ameet Kumar & Akhtaruzzaman, Md & Dionisio, Andreia & Almeida, Dora & Sensoy, Ahmet, 2022. "Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment," Journal of Behavioral and Experimental Finance, Elsevier, vol. 36(C).
  7. Bekiros, Stelios & Nguyen, Duc Khuong & Sandoval Junior, Leonidas & Uddin, Gazi Salah, 2017. "Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets," European Journal of Operational Research, Elsevier, vol. 256(3), pages 945-961.
  8. Peng Yue & Qing Cai & Wanfeng Yan & Wei-Xing Zhou, 2020. "Information flow networks of Chinese stock market sectors," Papers 2004.08759, arXiv.org.
  9. Goodman, James, 2014. "Evidence for ecological learning and domain specificity in rational asset pricing and market efficiency," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 48(C), pages 27-39.
  10. Gao, Hai-Ling & Mei, Dong-Cheng, 2019. "The correlation structure in the international stock markets during global financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
  11. Yang, Chunxia & Tang, Minxuan & Cao, Yongjian & Chen, Yanhua & Deng, Qiangqiang, 2015. "The study on variation of influential regions in China from a perspective of asymmetry economic information flow," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 180-187.
  12. Zhou, Yang & Xie, Chi & Wang, Gang-Jin & Zhu, You & Uddin, Gazi Salah, 2023. "Analysing and forecasting co-movement between innovative and traditional financial assets based on complex network and machine learning," Research in International Business and Finance, Elsevier, vol. 64(C).
  13. Dima, Bogdan & Dima, Ştefana Maria & Barna, Flavia, 2014. "The signaling effect of tax rates under fiscal competition: A (Shannonian) transfer entropy approach," Economic Modelling, Elsevier, vol. 42(C), pages 373-381.
  14. Sandoval, Leonidas, 2012. "Pruning a minimum spanning tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(8), pages 2678-2711.
  15. Jinkyu Kim & Gunn Kim & Sungbae An & Young-Kyun Kwon & Sungroh Yoon, 2013. "Entropy-Based Analysis and Bioinformatics-Inspired Integration of Global Economic Information Transfer," PLOS ONE, Public Library of Science, vol. 8(1), pages 1-10, January.
  16. Shternshis, Andrey & Mazzarisi, Piero & Marmi, Stefano, 2022. "Measuring market efficiency: The Shannon entropy of high-frequency financial time series," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).
  17. Charu Sharma & Amber Habib, 2019. "Mutual information based stock networks and portfolio selection for intraday traders using high frequency data: An Indian market case study," PLOS ONE, Public Library of Science, vol. 14(8), pages 1-19, August.
  18. Xu, Meng & Shang, Pengjian, 2018. "Analysis of financial time series using multiscale entropy based on skewness and kurtosis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1543-1550.
  19. Storhas, Dominik P. & De Mello, Lurion & Singh, Abhay Kumar, 2020. "Multiscale lead-lag relationships in oil and refined product return dynamics: A symbolic wavelet transfer entropy approach," Energy Economics, Elsevier, vol. 92(C).
  20. Assaf, Ata & Charif, Husni & Demir, Ender, 2022. "Information sharing among cryptocurrencies: Evidence from mutual information and approximate entropy during COVID-19," Finance Research Letters, Elsevier, vol. 47(PA).
  21. Leonidas Sandoval Junior, 2011. "Pruning a Minimum Spanning Tree," Papers 1109.0642, arXiv.org.
  22. Dimpfl, Thomas & Peter, Franziska J., 2018. "Analyzing volatility transmission using group transfer entropy," Energy Economics, Elsevier, vol. 75(C), pages 368-376.
  23. Roberta Scaramozzino & Paola Cerchiello & Tomaso Aste, 2021. "Information theoretic causality detection between financial and sentiment data," DEM Working Papers Series 202, University of Pavia, Department of Economics and Management.
  24. Fujio Toriumi & Kazuki Komura, 2018. "Investment Index Construction from Information Propagation Based on Transfer Entropy," Computational Economics, Springer;Society for Computational Economics, vol. 51(1), pages 159-172, January.
  25. Bowen Zhang & Jinping Lin & Man Luo & Changxian Zeng & Jiajia Feng & Meiqi Zhou & Fuying Deng, 2022. "Changes in Public Sentiment under the Background of Major Emergencies—Taking the Shanghai Epidemic as an Example," IJERPH, MDPI, vol. 19(19), pages 1-20, October.
  26. Theo Diamandis & Yonathan Murin & Andrea Goldsmith, 2018. "Ranking Causal Influence of Financial Markets via Directed Information Graphs," Papers 1801.06896, arXiv.org.
  27. Wu, Zhenyu & Shang, Pengjian, 2017. "Nonlinear transformation on the transfer entropy of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 392-400.
  28. Qiu, Lu & Yang, Huijie, 2020. "Transfer entropy calculation for short time sequences with application to stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).
  29. Leonidas Sandoval Junior & Asher Mullokandov & Dror Y. Kenett, 2015. "Dependency Relations among International Stock Market Indices," JRFM, MDPI, vol. 8(2), pages 1-39, May.
  30. Toan Luu Duc Huynh & Muhammad Shahbaz & Muhammad Ali Nasir & Subhan Ullah, 2022. "Financial modelling, risk management of energy instruments and the role of cryptocurrencies," Annals of Operations Research, Springer, vol. 313(1), pages 47-75, June.
  31. Kyu-Min Lee & Jae-Suk Yang & Gunn Kim & Jaesung Lee & Kwang-Il Goh & In-mook Kim, 2011. "Impact of the Topology of Global Macroeconomic Network on the Spreading of Economic Crises," PLOS ONE, Public Library of Science, vol. 6(3), pages 1-11, March.
  32. Kwon, Okyu & Son, Woo-Sik & Park, Ji-Eun, 2020. "Correlation and causality of influenza incidence pattern between regions in the case of South Korea," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 547(C).
  33. Oh, Mingi & Kim, Sehyun & Lim, Kyuseong & Kim, Soo Yong, 2018. "Time series analysis of the Antarctic Circumpolar Wave via symbolic transfer entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 233-240.
  34. Teng, Yue & Shang, Pengjian, 2017. "Transfer entropy coefficient: Quantifying level of information flow between financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 60-70.
  35. Lin, Aijing & Shang, Pengjian & Zhong, Bo, 2014. "Hidden cross-correlation patterns in stock markets based on permutation cross-sample entropy and PCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 259-272.
  36. Lu, Jingen & Chen, Xiaohong & Liu, Xiaoxing, 2018. "Stock market information flow: Explanations from market status and information-related behavior," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 837-848.
  37. Angeliki Papana & Catherine Kyrtsou & Dimitris Kugiumtzis & Cees Diks, 2023. "Identification of causal relationships in non-stationary time series with an information measure: Evidence for simulated and financial data," Empirical Economics, Springer, vol. 64(3), pages 1399-1420, March.
  38. Bekiros, Stelios & Jlassi, Mouna & Lucey, Brian & Naoui, Kamel & Uddin, Gazi Salah, 2017. "Herding behavior, market sentiment and volatility: Will the bubble resume?," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 107-131.
  39. Park, Sangjin & Jang, Kwahngsoo & Yang, Jae-Suk, 2021. "Information flow between bitcoin and other financial assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
  40. Jale, Jader S. & Júnior, Sílvio F.A.X. & Stošić, Tatijana & Stošić, Borko & Ferreira, Tiago A.E., 2019. "Information flow between Ibovespa and constituent companies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 233-239.
  41. Shi, Wenbin & Shang, Pengjian & Xia, Jianan & Yeh, Chien-Hung, 2016. "The coupling analysis between stock market indices based on permutation measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 222-231.
  42. Huynh, Toan Luu Duc & Nasir, Muhammad Ali & Vo, Xuan Vinh & Nguyen, Thong Trung, 2020. "“Small things matter most”: The spillover effects in the cryptocurrency market and gold as a silver bullet," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  43. Nicoló Andrea Caserini & Paolo Pagnottoni, 2022. "Effective transfer entropy to measure information flows in credit markets," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(4), pages 729-757, October.
  44. Khashanah, Khaldoun & Yang, Hanchao, 2016. "Evolutionary systemic risk: Fisher information flow metric in financial network dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 445(C), pages 318-327.
  45. Xie, Wen-Jie & Yong, Yang & Wei, Na & Yue, Peng & Zhou, Wei-Xing, 2021. "Identifying states of global financial market based on information flow network motifs," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  46. Sensoy, Ahmet & Sobaci, Cihat & Sensoy, Sadri & Alali, Fatih, 2014. "Effective transfer entropy approach to information flow between exchange rates and stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 68(C), pages 180-185.
  47. Assaf, Ata & Bilgin, Mehmet Huseyin & Demir, Ender, 2022. "Using transfer entropy to measure information flows between cryptocurrencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 586(C).
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