Information flow between composite stock index and individual stocks

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.

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Year of publication:	2008
Authors:	Kwon, Okyu ; Yang, Jae-Suk
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 387.2008, 12, p. 2851-2856
Publisher:	Elsevier
Subject:	Transfer entropy \| Information flow \| Econophysics \| Stock market

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010872784