Search Results - subject:"Transfer entropy"

Does the dynamics between government bond and equity markets validate the adaptive market hypothesis? : evidence from transfer entropy

Tiwari, Aviral Kumar; Jena, Sangram Keshari; Abakah, … - In: Applied economics 56 (2024) 2, pp. 186-201

Persistent link: https://www.econbiz.de/10014439885

Information flow between BRVM and ESG stock returns : a frequency-dependent analysis

Kyei, Collins Baffour; Ampong, George Oppong Appiagyei; … - In: Research in globalization 8 (2024), pp. 1-23

Index (FTSERI). We employed Rényi transfer entropy estimates to measure the information flow between the stocks returns. To …

Persistent link: https://www.econbiz.de/10015047811

Asymmetric information flow between exchange rate, oil, and gold: New evidence from transfer entropy approach

Maiti, Moinak; Kayal, Parthajit - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-14

The present study used transfer entropy and effective transfer entropy to examine the asymmetric information flow … variables is asymmetric. The highest transfer entropy was observed for GoldÇEUR/USD among all the pairs under consideration. …

Persistent link: https://www.econbiz.de/10014332777

Impact of COVID-19 on the contagion effect of risks in the banking industry : based on transfer entropy and social network analysis method

Yijun, Wang; Yu, Zhang; Bashir, Usman - In: Risk management : an international journal 25 (2023) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10014251440

Stock market integration in Africa : further evidence from an information-theoretic framework

Nyakurukwa, Kingstone; Seetharam, Yudhvir - In: International finance : the only journal bridging the … 26 (2023) 1, pp. 2-18

Persistent link: https://www.econbiz.de/10014252168

Asymmetric information flow between exchange rate, oil, and gold : new evidence from transfer entropy approach

Maiti, Moinak; Kayal, Parthajit - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-14

The present study used transfer entropy and effective transfer entropy to examine the asymmetric information flow … variables is asymmetric. The highest transfer entropy was observed for Gold→EUR/USD among all the pairs under consideration. …

Persistent link: https://www.econbiz.de/10014301581

Investor reaction to ESG news sentiment : evidence from South Africa

Nyakurukwa, Kingstone; Seetharam, Yudhvir - In: Economia : revista da ANPEC 24 (2023) 1, pp. 68-85

/methodology/approach The authors use Shannonian transfer entropy to examine whether information significantly flows from ESG news sentiment to … sentiment. Findings Using Shannonian transfer entropy, the authors find that for the majority of the companies studied …

Persistent link: https://www.econbiz.de/10014418091

Susceptibility of stock market returns to international economic policy: Evidence from effective transfer entropy of Africa with the implication for open innovation

Adam, Anokye M. - In: Journal of Open Innovation: Technology, Market, and … 6 (2020) 3, pp. 1-13

2020, using the Rényi effective transfer entropy. International economic policy uncertainty transmits significant …

Persistent link: https://www.econbiz.de/10012620380

Susceptibility of stock market returns to international economic policy : evidence from effective transfer entropy of Africa with the implication for open innovation

Adam, Anokye M. - In: Journal of open innovation : technology, market, and … 6 (2020) 3/71, pp. 1-13

2020, using the Rényi effective transfer entropy. International economic policy uncertainty transmits significant …

Persistent link: https://www.econbiz.de/10012265507

Leading indicators for US house prices: new evidence and implications for EU financial risk managers

Basse, Tobias; Kunze, Frederik; Gonzalez, Miguel Rodriguez - In: European financial management : the journal of the … 28 (2022) 3, pp. 722-743

concept of transfer entropy to examine the relationship between the US National Association of Home Builders Index and the S …

Persistent link: https://www.econbiz.de/10013275965

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