Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/92464
Authors: 
Dimpfl, Thomas
Peter, Franziska J.
Year of Publication: 
2014
Series/Report no.: 
University of Tübingen Working Papers in Economics and Finance 70
Abstract: 
We use intraday stock index return data from both sides of the Atlantic during overlapping trading hours to analyze the dynamic interactions between European and US stock markets. We are particularly interested in differences of information transmission before, during, and after the financial crisis of 2007 to 2009. Our analysis draws on the concept of Rényi transfer entropy to allow for a flexible and model-free empirical assessment of linear as well as non-linear market dependencies. Thereby the importance of extreme (tail) observations of the return distributions is highlighted. The results show significant bi-directional information transfer between the US and the European markets with a dominant flow from the US market. During the crisis dynamic interactions increase. At the same time information flows from European markets increase. The US market does not entirely regain its leading role in the after crisis period.
Subjects: 
stock market indices
information flows
financial crisis
Rényi transfer entropy
transatlantic information transmission
JEL: 
C58
G14
G15
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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