The Information Flow between A and H Share Stock markets

2019 ◽  
Author(s):  
Yi Zhou ◽  
Xianda Shang ◽  
Zhuoli Zhang ◽  
Jianwu Lin
Keyword(s):  
Information Flow ◽  
Stock Markets ◽  
H Share

scholarly journals Applying transfer entropy approach to investigate the information flow among ASEAN stock markets

2020 ◽  
Vol 4 (1) ◽  
pp. First
Author(s):  
Tran Thi Tuan Anh
Keyword(s):  
Information Flow ◽  
Stock Markets ◽  
Investment Strategy ◽  
The Philippines ◽  
Transfer Entropy ◽  
The Other ◽  
Information Flows ◽  
Research Results ◽  
Region Data ◽  
Asean Countries

This paper uses transfer entropy to measure and identify the information flows between stock markets in the ASEAN region. Data on daily closing stock indices, including Vietnam, the Philippines, Malaysia, Indonesia, Thailand, and Singapore, are collected for the period from March 2012 to October 2019 to calculate these transfer entropies. The research results of this article can be considered in two aspects: one is, how information flow originating from one market will be accepted by other markets and secondly, information flow that markets receive. From the perspective of incoming transfer entropy, Vietnam is the country most affected by information from the other ASEAN markets while Indonesia and Malaysia are the least affected. In terms of outgoing entropy, Thailand is the largest source of information flow to the ASEAN markets. Malaysia and the Philippines are the two countries that receive minor information impact from other countries. The research also reveals that the Singapore stock market is rather separate from the other ASEAN countries. The research results also imply that, for investors and policymakers, defining the information flows among ASEAN stock markets can help to predict market movements, thereby developing a suitable investment strategy or establishing appropriate management policies.

Information Flow Between Stock Markets: A Koopman Decomposition Approach

2021 ◽  
Author(s):  
Semba Sherehe ◽  
Wan Huiyun ◽  
Gu Changgui ◽  
Yang Huijie
Keyword(s):  
Information Flow ◽  
Stock Markets ◽  
Decomposition Approach

scholarly journals Effective transfer entropy approach to information flow between exchange rates and stock markets

2014 ◽  
Vol 68 ◽  
pp. 180-185 ◽  
Author(s):  
Ahmet Sensoy ◽  
Cihat Sobaci ◽  
Sadri Sensoy ◽  
Fatih Alali
Keyword(s):  
Exchange Rates ◽  
Information Flow ◽  
Stock Markets ◽  
Transfer Entropy ◽  
Effective Transfer

scholarly journals Effect of Intraday Information Flow on the Emerging European Stock Markets

2010 ◽  
Vol 58 (4) ◽  
pp. 435-457 ◽  
Author(s):  
Jan Hanousek ◽  
Evžen Kočenda
Keyword(s):  
Information Flow ◽  
Stock Markets ◽  
European Stock Markets
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