Journal
EPL
Volume 82, Issue 6, Pages -Publisher
IOP PUBLISHING LTD
DOI: 10.1209/0295-5075/82/68003
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Funding
- Creative Research Initiatives of the Korea Ministry of Science and Technology
- Second Brain Korea 21
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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. Copyright (C) EPLA, 2008.
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