A new vision about the influence of major stock markets in CEEC indices: a bidirectional dynamic analysis using transfer entropy

被引：9

作者：

Ferreira, Paulo ^{[1
,2
,3
]}

Dionisio, Andreia ^{[3
]}

Almeida, Dora ^{[3
]}

Quintino, Derick ^{[4
]}

Aslam, Faheem ^{[5
]}

机构：

[1] VALORIZA Res Ctr Endogenous Resource Valorizat, Portalegre, Portugal

[2] Inst Politecn Portalegre, Dept Ciencias Econ & Org, Portalegre, Portugal

[3] Univ Evora, IIFA, CEFAGE UE, Evora, Portugal

[4] Univ Sao Paulo, Dept Econ Adm & Sociol, Piracicaba, Brazil

[5] Comsats Univ Islamabad, Dept Management Sci, Islamabad, Pakistan

来源：

POST-COMMUNIST ECONOMIES | 2021年

关键词：

Bidirectional influence; Granger causality; net transfer entropy; transfer entropy; INFORMATION-TRANSFER;

D O I：

10.1080/14631377.2021.2006498

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This research work aims to understand the dynamics of influence among CEEC stock market indices and between these and the US, German, UK and Chinese indices. Through a nonlinear approach, based on transfer entropy, we find strongly influential relationships between some CEEC indices and the influencing nature of the US index stands out. In addition to the complexity of causality relationships, which has a limited compatibility with purely linear analyses, we also perceive an intensification in the leadership of the big 4 from the first quarter of 2020, which suggests that the pandemic crisis may be a factor for the intensification of influence from Chinese and US indices.

引用

页码：267 / 282

页数：16

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