Information flow between composite stock index and individual stocks
arXiv:0708.0063 · doi:10.1016/j.physa.2008.01.007
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.
8 pages, 4 figures
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- The market efficiency in the stock markets
- Information transfer between stock market sectors: A comparison between the USA and China
- Effects of time dependency and efficiency on information flow in financial markets