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Tracking Oil Price Shocks and Airline Stock Reactions Using Entropy-Based Approaches
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Orientador(es)
Resumo(s)
The relationship between oil prices and the airline industry is economically important yet
empirically complex, presenting significant challenges, with prior research yielding conflicting
evidence on the nature, strength, and direction of their interaction. This study contributes to the
literature moving beyond traditional linear assumptions, applying Shannon and R´enyi transfer
entropy to evaluate the nonlinear and state-dependent information flow between oil, oil volatility, and six international airline indices. The empirical findings reveal a significant but heterogeneous information flow between West Texas Intermediate (WTI) and airline indices,
suggesting a relationship of mutual influence, where the directional information flow from WTI to
airline indices consistently surpasses the reverse flow. In the case of the Crude Oil Volatility Index
(OVX), results show a dominant flow of information from each airline index to the OVX index,
indicating that sector-specific shocks can shape market expectations of oil volatility. The R´enyi
entropy analysis further uncovers tail-driven dynamics: at low orders of R´enyi entropy, the entropy values remained predominantly negative between WTI and airline indices, while they
remained predominantly positive, particularly from OVX to airline indices. However, at very high
orders of entropy, there is a more traditional flow of information from WTI to airline indices.
These findings enable policymakers to develop more effective, targeted, and economically sound
energy policies for the transportation sector and the wider economy.
Descrição
Palavras-chave
Crude Information flow Transfer entropy Shannon Rényi entropy
Contexto Educativo
Citação
Faheem Aslam, Paulo Ferreira, Márcia Oliveira, Dora Almeida, Tracking oil price shocks and airline stock reactions using entropy-based approaches, International Review of Economics & Finance, Volume 106, 2026, 105019, ISSN 1059-0560, https://doi.org/10.1016/j.iref.2026.105019.