  We investigated financial market data to determine which factors affect
information flow between stocks. Two factors, the time dependency and the
degree of efficiency, were considered in the analysis of Korean, the Japanese,
the Taiwanese, the Canadian, and US market data. We found that the frequency of
the significant information decreases as the time interval increases. However,
no significant information flow was observed in the time series from which the
temporal time correlation was removed. These results indicated that the
information flow between stocks evidences time-dependency properties.
Furthermore, we discovered that the difference in the degree of efficiency
performs a crucial function in determining the direction of the significant
information flow.
