Information flow between composite stock index and individual stocks

Simple item page
dc.creatorKwon, Okyu
dc.creatorYang, Jae-Suk
dc.date2007-08-01
dc.date.accessioned2026-07-07T12:05:19Z
dc.date.available2026-07-07T12:05:19Z
dc.descriptionWe 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.
dc.description8 pages, 4 figures
dc.identifierhttps://arxiv.org/abs/0708.0063
dc.identifierhttp://arxiv.org/abs/0708.0063
dc.identifierdoi:10.1016/j.physa.2008.01.007
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208345
dc.subjectStatistical Finance
dc.subjectPhysics and Society
dc.titleInformation flow between composite stock index and individual stocks
dc.typetext

Files

Collections

arXiv