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The use of transfer entropy to analyse the comovements of European Union stock markets: a dynamical analysis in times of crises

2022-11-24Journal article Open access
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dc.contributor.authorFerreira, Paulo
dc.contributor.authorAlmeida, Dora
dc.contributor.authorDionísio, Andreia
dc.contributor.authorQuintino, Derick
dc.contributor.authorAslam, Faheem
dc.date.accessioned2023-03-17T11:47:02ZPT
dc.date.available2023-03-17T11:47:02ZPT
dc.date.issued2022-11-24PT
dc.date.updated2023-02-20T12:26:37Z
dc.description.abstractUnderstanding the linkages among stock markets holds great importance for investors, policymakers and portfolio managers. When considering the integration of international stock markets and given they are complex systems, it is important to understand how they are related and how they influéncé each other. Studying data from 25 European Union stock market indices, this piece of research aims to evaluate the dynamics of influéncé among them. In terms of method, a non-linear approach has been applied, based on transfer entropy with static and dynamic analysis. As the main finding, a strongly influéntial relationship between some indices should be highlighted. The static analysis allows us to infer that central and western European Union countries are the main influéncérs, while the dynamic analysis leads us to the conclusion that the relationships between the stock markets have changed over time, revealing their dynamism. The results obtained have several implications. For instance, for investors and portfolio managers, the information about comovements is relevant for divérsification purposes and for their decisions on where to make their investments, build portfolio strategies and manage risks; however, for policymakers, the constant monitoring of stock markets may detect increases in the connection between markets, which could be understood as signs of instability.pt_PT
dc.description.versionN/Apt_PT
dc.identifier.doi10.15304/rge...8400pt_PT
dc.identifier.slugcv-prod-3138220
dc.identifier.urihttp://hdl.handle.net/10400.26/44207PT
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.subjectBidirectional influéncépt_PT
dc.subjectEuropean stock marketspt_PT
dc.subjectNet transfer entropypt_PT
dc.subjectStock market integrationpt_PT
dc.subjectTransfer entropypt_PT
dc.titleThe use of transfer entropy to analyse the comovements of European Union stock markets: a dynamical analysis in times of crisespt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.titleRevista Galega de Economíapt_PT
person.familyNameFerreira
person.familyNameFortes de Almeida
person.familyNameDionisio
person.familyNameQuintino
person.familyNameAslam
person.givenNamePaulo
person.givenNameDora Maria
person.givenNameAndreia
person.givenNameDerick
person.givenNameFaheem
person.identifierAAT-3650-2021
person.identifier730807
person.identifier.ciencia-idB513-B46A-E5F3
person.identifier.ciencia-id181D-7395-0348
person.identifier.ciencia-id6B1B-238E-A3E7
person.identifier.ciencia-id5B10-E595-4CC7
person.identifier.ciencia-idEC1A-E8EA-6F1C
person.identifier.orcid0000-0003-1951-889X
person.identifier.orcid0000-0003-0224-8635
person.identifier.orcid0000-0002-4289-9312
person.identifier.orcid0000-0002-9382-8442
person.identifier.orcid0000-0001-7308-096X
person.identifier.ridP-9622-2016
person.identifier.scopus-author-id35745865300
person.identifier.scopus-author-id55841775200
rcaap.cv.cienciaidB513-B46A-E5F3 | Paulo Jorge Silveira Ferreira
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublicationcef169d9-c594-4505-ab57-7c6f92868cb6
relation.isAuthorOfPublication9e19ad09-9b23-430a-8ca1-3bfcf63f8799
relation.isAuthorOfPublicationf6df1b32-19be-42f9-b74b-79964d27f8de
relation.isAuthorOfPublication0593de6e-e96b-427c-8979-f174ce462473
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relation.isAuthorOfPublication.latestForDiscovery0593de6e-e96b-427c-8979-f174ce462473

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