Information flow between Ibovespa and constituent companies
Jader S. Jale,
Sílvio F.A.X. Júnior,
Borko Stošić and
Tiago A.E. Ferreira
Physica A: Statistical Mechanics and its Applications, 2019, vol. 516, issue C, 233-239
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)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:516:y:2019:i:c:p:233-239
Access Statistics for this article
Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis
More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().