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Information flow between Ibovespa and constituent companies

Jader S. Jale, Sílvio F.A.X. Júnior, Tatijana Stošić, Borko Stošić and Tiago A.E. Ferreira

Physica A: Statistical Mechanics and its Applications, 2019, vol. 516, issue C, 233-239

Abstract: We study the direction of information flow between Ibovespa index and its constituent companies using the Transfer entropy method. We find stronger information transfer from individual stocks towards the composite index, than in the opposite direction. Our results differ from those found for developed market, where market index was identified as driving force, indicating that the role of index increases with the maturity of the market.

Keywords: Ibovespa; Transfer entropy; Directional transfer (search for similar items in EconPapers)
Date: 2019
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Handle: RePEc:eee:phsmap:v:516:y:2019:i:c:p:233-239