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Information flow between composite stock index and individual stocks

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  • Okyu Kwon
  • Jae-Suk Yang

Abstract

We investigate the strength and the direction of information transfer in the U.S. 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

  • Okyu Kwon & Jae-Suk Yang, 2007. "Information flow between composite stock index and individual stocks," Papers 0708.0063, arXiv.org.
    • Handle: RePEc:arx:papers:0708.0063
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    File URL: http://arxiv.org/pdf/0708.0063
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    Cited by:

    1. 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.

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