Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/178561
Authors: 
Sandoval Junior, Leonidas
Mullokandov, Asher
Kenett, Dror Y.
Year of Publication: 
2015
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 8 [Year:] 2015 [Issue:] 2 [Pages:] 227-265
Abstract: 
We develop networks of international stock market indices using information and correlation based measures. We use 83 stock market indices of a diversity of countries, as well as their single day lagged values, to probe the correlation and the flow of information from one stock index to another taking into account different operating hours. Additionally, we apply the formalism of partial correlations to build the dependency network of the data, and calculate the partial Transfer Entropy to quantify the indirect influence that indices have on one another. We find that Transfer Entropy is an effective way to quantify the flow of information between indices, and that a high degree of information flow between indices lagged by one day coincides to same day correlation between them.
Subjects: 
correlation
transfer entropy
dependency
JEL: 
G1
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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