A new vision about the influence of major stock markets in CEEC indices: a bidirectional dynamic analysis using transfer entropy

IF 2.2 3区经济学 Q2 ECONOMICS

Post-Communist Economies Pub Date : 2021-11-29 DOI:10.1080/14631377.2021.2006498

P. Ferreira, A. Dionísio, Dora Almeida, D. Quintino, Faheem Aslam

引用次数: 8

Abstract

ABSTRACT This research work aims to understand the dynamics of influence among CEEC stock market indices and between these and the US, German, UK and Chinese indices. Through a nonlinear approach, based on transfer entropy, we find strongly influential relationships between some CEEC indices and the influencing nature of the US index stands out. In addition to the complexity of causality relationships, which has a limited compatibility with purely linear analyses, we also perceive an intensification in the leadership of the big 4 from the first quarter of 2020, which suggests that the pandemic crisis may be a factor for the intensification of influence from Chinese and US indices.

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关于主要股票市场对中东欧国家指数影响的新视角：基于转移熵的双向动态分析

摘要本研究旨在了解中东欧国家股票市场指数之间以及这些指数与美国、德国、英国和中国指数之间的影响动态。通过基于传递熵的非线性方法，我们发现CEEC的一些指标之间存在很强的影响关系，其中美国指数的影响性质尤为突出。除了因果关系的复杂性(与纯线性分析的兼容性有限)之外，我们还发现，从2020年第一季度开始，四大银行的领导地位有所加强，这表明疫情危机可能是中国和美国指数影响力增强的一个因素。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Post-Communist Economies ECONOMICS-

CiteScore

4.90

自引率

18.20%

发文量

期刊介绍： Post-Communist Economies publishes key research and policy articles in the analysis of post-communist economies. The basic transformation in the past two decades through stabilisation, liberalisation and privatisation has been completed in virtually all of the former communist countries, but despite the dramatic changes that have taken place, the post-communist economies still form a clearly identifiable group, distinguished by the impact of the years of communist rule. Post-communist economies still present distinctive problems that make them a particular focus of research.