Functional near-infrared spectroscopy (fNIRS) is an optical imaging method, which monitors the brain activation by measuring the successive changes in the concentration of oxy- and deoxyhemoglobin in real time. In this study, we present a method to investigate the functional connectivity of prefrontal cortex (PFC) Sby applying a Gauss-Markov model to fNIRS signals. The hemodynamic changes on PFC during the performance of cognitive paradigm are measured by fNIRS for 17 healthy adults. The color-word matching Stroop task is performed to activate 16 different regions of PFC. There are three different types of stimuli in this task, which can be listed as incongruent stimulus (IS), congruent stimulus (CS), and neutral stimulus (NS), respectively. We introduce a new measure, called "information transfer metric" (ITM) for each time sample. The behavior of ITMs during IS are significantly different from the ITMs during CS and NS, which is consistent with the outcome of the previous research, which concentrated on fNIRS signal analysis via color-word matching Stroop task. Our analysis shows that the functional connectivity of PFC is highly relevant with the cognitive load, i.e., functional connectivity increases with the increasing cognitive load.