Dependency Relations among International Stock Market Indices

Journal of Risk and Financial Management

Leonidas Sandoval Junior³  Asher Mullokandov²  Dror Y. Kenett¹ 

[1] Center for Polymer Studies and Department of Physics, 590 Commonwealth Avenue, Boston, MA 02215, USA; E-Mail:;Department of Physics, Boston Univeristy, 590 Commonwealth Ave, Boston, MA 02215, USA; E-Mail:;Insper Instituto de Ensino e Pesquisa, Rua Quatá, 300, São Paulo, SP, 04546-042, Brazil

关键词: correlation;    transfer entropy;    dependency;   

DOI  :  10.3390/jrfm8020227

来源: mdpi

【 摘 要 】

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.

【 授权许可】

CC BY   
© 2015 by the authors; licensee MDPI, Basel, Switzerland.