Predict or to be predicted? A transfer entropy view between adaptive green markets, structural shocks and sentiment index

Joaquim Ferreira and Flávio Morais

Finance Research Letters, 2023, vol. 56, issue C

Abstract: This study assesses green equity markets' behavior in a sense of Lo's adaptive market hypothesis and whether this adaption could be predicted or predicts monetary and commodity structural shocks and sentiment behavior considering normal and uncertain states. Applying Domínguez-Lobato Test, SVAR decomposition and Transfer Entropy methods, the results corroborate the adaptive market hypothesis on green equity markets, and the green equity adaptive markets, structural shocks and Sentiment index are affected by tail distribution events.

Keywords: Non-parametric tests; Entropy; Green markets; Structural shocks; Adaptive market hypothesis (search for similar items in EconPapers)
JEL-codes: C14 E44 Q02 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612323004725
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004725

DOI: 10.1016/j.frl.2023.104100

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().