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Information transfer network of global market indices

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  • Kim, Yup
  • Kim, Jinho
  • Yook, Soon-Hyung

Abstract

We study the topological properties of the information transfer networks (ITN) of the global financial market indices for six different periods. ITN is a directed weighted network, in which the direction and weight are determined by the transfer entropy between market indices. By applying the threshold method, it is found that ITN undergoes a crossover from the complete graph to a small-world (SW) network. SW regime of ITN for a global crisis is found to be much more enhanced than that for ordinary periods. Furthermore, when ITN is in SW regime, the average clustering coefficient is found to be synchronized with average volatility of markets. We also compare the results with the topological properties of correlation networks.

Suggested Citation

  • Kim, Yup & Kim, Jinho & Yook, Soon-Hyung, 2015. "Information transfer network of global market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 430(C), pages 39-45.
  • Handle: RePEc:eee:phsmap:v:430:y:2015:i:c:p:39-45
    DOI: 10.1016/j.physa.2015.02.081
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    1. repec:eee:phsmap:v:512:y:2018:i:c:p:837-848 is not listed on IDEAS

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    Keywords

    Econophysics; Complex networks;

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