Issue
EPL
Volume 82, Number 6, June 2008
Article Number 68003
Number of page(s) 4
Section Interdisciplinary Physics and Related Areas of Science and Technology
DOI http://dx.doi.org/10.1209/0295-5075/82/68003
Published online 29 May 2008
EPL, 82 (2008) 68003
DOI: 10.1209/0295-5075/82/68003

Information flow between stock indices

O. Kwon1, 2 and J.-S. Yang1

1  Department of Physics, Korea University - Seoul 136-713, Korea
2  National Creative Research Initiative Center for Neuro-dynamics, Korea University - Seoul 136-713, Korea

mathphy@korea.ac.kr

received 25 January 2008; accepted in final form 30 April 2008; published June 2008
published online 29 May 2008

Abstract
Using transfer entropy, we observed the strength and direction of information flow between stock indices. We uncovered that the biggest source of information flow is America, while most receivers are in the Asia/Pacific region. According to the minimum spanning tree, the Standard and Poor's 500 Index (GSPC) is located at the focal point of the information source for world stock markets.

PACS
89.65.Gh - Economics; econophysics, financial markets, business and management.
89.70.Cf - Entropy and other measures of information.
89.75.Fb - Structures and organization in complex systems.

© EPLA 2008