Dependency relations among international stock market indices

Artikel

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 8 ; Year: 2015 ; Issue: 2 ; Pages: 227-265 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft ; International Financial Markets
• Subject: correlation ; transfer entropy ; dependency

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Sandoval Junior, Leonidas ; Mullokandov, Asher ; Kenett, Dror Y.
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2015

Further information

• DOI: doi:10.3390/jrfm8020227
• Handle: http://hdl.handle.net/10419/178561
• Last update: 10.03.2025, 11:42 AM CET