Title of article
Information flow between composite stock index and individual stocks
Author/Authors
Okyu Kwon، نويسنده , , Jae-Suk Yang، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
6
From page
2851
To page
2856
Abstract
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
Journal title
Physica A Statistical Mechanics and its Applications
Serial Year
2008
Journal title
Physica A Statistical Mechanics and its Applications
Record number
872454
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