| Issue |
EPL
Volume 97, Number 2, January 2012
|
|
|---|---|---|
| Article Number | 28007 | |
| Number of page(s) | 6 | |
| Section | Interdisciplinary Physics and Related Areas of Science and Technology | |
| DOI | https://doi.org/10.1209/0295-5075/97/28007 | |
| Published online | 10 January 2012 | |
Asymmetric information flow between market index and individual stocks in several stock markets
1
Division of Fusion and Convergence of Mathematical Sciences, National Institute for Mathematical Sciences Daejeon, 305-390, Korea
2
Division of Business Administration, Chosun University - Gwangju 501-759, Korea
Received:
3
July
2011
Accepted:
5
December
2011
In this study, we observed asymmetric information flow between the stock market index and their component stocks using a transfer entropy measure. We found that the amount of information flow from an index to a stock is larger than from a stock to an index. This finding indicates that the market index is a major driving force in determining individual stocks. Interestingly, this asymmetry occurred in the same direction in every market studied from mature to emerging markets. However, the strength of the asymmetry was higher in mature markets than in emerging markets.
PACS: 89.65.Gh – Economics; econophysics, financial markets, business and management / 89.70.Cf – Entropy and other measures of information / 05.40.-a – Fluctuation phenomena, random processes, noise, and Brownian motion
© EPLA, 2012
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