IDEAS home Printed from
   My bibliography  Save this article

Information transfer network of global market indices


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


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

    Download full text from publisher

    File URL:
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

    As the access to this document is restricted, you may want to search for a different version of it.


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. repec:eee:phsmap:v:512:y:2018:i:c:p:837-848 is not listed on IDEAS

    More about this item


    Econophysics; Complex networks;


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:430:y:2015:i:c:p:39-45. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.