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Information flow between composite stock index and individual stocks

Author

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  • Kwon, Okyu
  • Yang, Jae-Suk

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.

Suggested Citation

  • Kwon, Okyu & Yang, Jae-Suk, 2008. "Information flow between composite stock index and individual stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2851-2856.
  • Handle: RePEc:eee:phsmap:v:387:y:2008:i:12:p:2851-2856
    DOI: 10.1016/j.physa.2008.01.007
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    Cited by:

    1. repec:eee:phsmap:v:486:y:2017:i:c:p:118-126 is not listed on IDEAS
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. Dima, Bogdan & Dima, ┼×tefana 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.
    8. Sandoval, Leonidas, 2012. "Pruning a minimum spanning tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(8), pages 2678-2711.
    9. repec:eee:phsmap:v:490:y:2018:i:c:p:1543-1550 is not listed on IDEAS
    10. repec:eee:eneeco:v:75:y:2018:i:c:p:368-376 is not listed on IDEAS
    11. repec:kap:compec:v:51:y:2018:i:1:d:10.1007_s10614-016-9618-8 is not listed on IDEAS
    12. Theo Diamandis & Yonathan Murin & Andrea Goldsmith, 2018. "Ranking Causal Influence of Financial Markets via Directed Information Graphs," Papers 1801.06896, arXiv.org.
    13. repec:eee:phsmap:v:482:y:2017:i:c:p:392-400 is not listed on IDEAS
    14. Leonidas Sandoval Junior & Asher Mullokandov & Dror Y. Kenett, 2015. "Dependency Relations among International Stock Market Indices," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 8(2), pages 1-39, May.
    15. repec:eee:phsmap:v:499:y:2018:i:c:p:233-240 is not listed on IDEAS
    16. 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.
    17. 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.
    18. repec:eee:phsmap:v:512:y:2018:i:c:p:837-848 is not listed on IDEAS
    19. repec:eee:ecofin:v:42:y:2017:i:c:p:107-131 is not listed on IDEAS
    20. repec:eee:phsmap:v:516:y:2019:i:c:p:233-239 is not listed on IDEAS
    21. 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.
    22. 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.

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