The impact of the financial crisis on transatlantic information flows: An intraday analysis
The impact of the financial crisis on transatlantic information flows: An intraday analysis
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DOI：
10.1016/j.intfin.2014.03.004
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发表时间：
2014-07-01
影响因子：
4
通讯作者：
Peter, Franziska J.
中科院分区：
文献类型：
--
作者：
Dimpfl, Thomas;Peter, Franziska J.
我们使用在重叠的交易时间内来自大西洋两岸的股票指数收益率数据来分析欧洲和美国股票市场之间的动态相互作用。我们对2007-2009年金融危机之前、期间和之后的信息传递差异特别感兴趣。我们的分析借鉴了Renyi转移熵的概念，以允许对线性和非线性市场依赖性进行灵活和无模型的实证评估。因此，极端（尾部）观察的回报分布的重要性是突出的。结果表明，美国和欧洲市场之间的双向信息传递与美国市场的主导流显着。在危机期间，动态互动增加。与此同时，来自欧洲市场的信息流也在增加。美国市场并没有完全恢复其在危机后时期的主导作用。(C)2014年爱思唯尔B。V.保留所有权利。
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 2007-2009. Our analysis draws on the concept of Renyi 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. (C) 2014 Elsevier B. V. All rights reserved.