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Abstract: We empirically investigated the effects of market factors on the informationflow created from NN-1-2 linkage relationships among stocks. We also examinedthe possibility of employing the minimal spanning tree MST method, which iscapable of reducing the number of links to N-1. We determined that marketfactors carry important information value regarding information flow amongstocks. Moreover, the information flow among stocks evidenced time-varyingproperties according to the changes in market status. In particular, we notedthat the information flow increased dramatically during periods of marketcrises. Finally, we confirmed, via the MST method, that the information flowamong stocks could be assessed effectively with the reduced linkagerelationships among all links between stocks from the perspective of theoverall market.



Autor: Cheoljun Eom, Okyu Kwon, Woo-Sung Jung, Seunghwan Kim

Fuente: https://arxiv.org/







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