The Impact of the Financial Crisis on Transatlantic Information Flows: an Intraday Analysis

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Show simple item record Dimpfl, Thomas de_DE Peter, Franziska J. de_DE 2014-02-07 de_DE 2014-03-18T10:04:20Z 2014-02-07 de_DE 2014-03-18T10:04:20Z 2014 de_DE
dc.identifier.other 400873281 de_DE
dc.identifier.uri de_DE
dc.description.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 R´enyi 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. en
dc.language.iso en de_DE
dc.publisher Universität Tübingen de_DE
dc.rights ubt-podno de_DE
dc.rights.uri de_DE
dc.rights.uri en
dc.subject.classification Aktienindex de_DE
dc.subject.ddc 330 de_DE
dc.subject.other Stock market indices , information flows , financial crisis , R´enyi transfer entropy , transatlantic information transmission en
dc.title The Impact of the Financial Crisis on Transatlantic Information Flows: an Intraday Analysis en
dc.type ResearchPaper de_DE
utue.publikation.fachbereich Wirtschaftswissenschaften de_DE
utue.publikation.fakultaet 6 Wirtschafts- und Sozialwissenschaftliche Fakultät de_DE
dcterms.DCMIType Text de_DE
utue.publikation.typ workingPaper de_DE 7233 de_DE
utue.publikation.source University of Tübingen Working Papers in Economics and Finance ; 70 de_DE


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