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
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/S0378437118312652
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

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:phsmap:v:516:y:2019:i:c:p:233-239

DOI: 10.1016/j.physa.2018.09.150

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 Catherine Liu ().