Daijiro Nishi

When Nikkei Leads: Transfer Entropy Evidence of Persistent Japan-to-U.S. Equity Information Flow

A widely held view in financial economics is that U.S. equity markets lead price discovery in international markets. We challenge this assumption using Kraskov–Stögbauer–Grassberger Transfer Entropy (KSG-TE) to measure directional information flow between the S&P500 (SPY) and the Nikkei225 (N225) across 2022–2024. Appl...