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

Citations

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Cited by:

  1. Insu Choi & Wonje Yun & Woo Chang Kim, 2025. "Improving data efficiency for analyzing global exchange rate fluctuations based on nonlinear causal network-based clustering," Annals of Operations Research, Springer, vol. 352(3), pages 745-780, September.
  2. Nie, Chun-Xiao, 2023. "Time-varying characteristics of information flow networks in the Chinese market: An analysis based on sector indices," Finance Research Letters, Elsevier, vol. 54(C).
  3. Lim, Kyuseong & Kim, Sehyun & Kim, Soo Yong, 2017. "Information transfer across intra/inter-structure of CDS and stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 118-126.
  4. Chen, Yanhua & Pantelous, Athanasios A., 2022. "The U.S.-China trade conflict impacts on the Chinese and U.S. stock markets: A network-based approach," Finance Research Letters, Elsevier, vol. 46(PB).
  5. Almeida, Dora & Ferreira, Paulo & Dionísio, Andreia & Aslam, Faheem, 2025. "Exploring the connection between geopolitical risks and energy markets," Energy Economics, Elsevier, vol. 141(C).
  6. Yi, Eojin & Cho, Yerim & Sohn, Sungbin & Ahn, Kwangwon, 2021. "After the Splits: Information Flow between Bitcoin and Bitcoin Family," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
  7. Leonidas Sandoval Junior & Asher Mullokandov & Dror Y. Kenett, 2015. "Dependency Relations among International Stock Market Indices," JRFM, MDPI, vol. 8(2), pages 1-39, May.
  8. Atipaga, Umar-Farouk & Alagidede, Imhotep & Tweneboah, George, 2025. "Information flow between stock returns of advanced markets and emerging African economies," Research in International Business and Finance, Elsevier, vol. 73(PA).
  9. Kihwan Jo & Gahyun Choi & Jongwook Jeong & Kwangwon Ahn, 2023. "Information flow among stocks, bonds, and convertible bonds," PLOS ONE, Public Library of Science, vol. 18(3), pages 1-12, March.
  10. Martins, Adriel M.F. & Fernandes, Leonardo H.S. & Nascimento, Abraão D.C., 2023. "Scientific progress in information theory quantifiers," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).
  11. Banerjee, Ameet Kumar & Akhtaruzzaman, Md & Dionisio, Andreia & Almeida, Dora & Sensoy, Ahmet, 2022. "Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment," Journal of Behavioral and Experimental Finance, Elsevier, vol. 36(C).
  12. Cengiz Karatas & Sukriye Tuysuz & Kazim Berk Kucuklerli & Veysel Ulusoy, 2025. "Investigation of the relationship between number of tweets and USDTRY exchange rate with wavelet coherence and transfer entropy analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-20, December.
  13. Xiao, Jihong & Xu, Wen & Liu, Hong & Zhao, Yunning, 2025. "Spillovers from oil price uncertainty to Chinese sectoral stock returns: New insights from effective transfer entropy," International Review of Financial Analysis, Elsevier, vol. 106(C).
  14. Kuang, Peng-Cheng, 2021. "Measuring information flow among international stock markets: An approach of entropy-based networks on multi time-scales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 577(C).
  15. van Elteren, Casper & Quax, Rick & Sloot, Peter, 2022. "Dynamic importance of network nodes is poorly predicted by static structural features," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
  16. Park, Sangjin & Jang, Kwahngsoo & Yang, Jae-Suk, 2021. "Information flow between bitcoin and other financial assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
  17. Jale, Jader S. & Júnior, Sílvio F.A.X. & Stošić, Tatijana & Stošić, Borko & Ferreira, Tiago A.E., 2019. "Information flow between Ibovespa and constituent companies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 233-239.
  18. Argentiero, Amedeo & Bovi, Maurizio & Cerqueti, Roy, 2016. "Bayesian estimation and entropy for economic dynamic stochastic models: An exploration of overconsumption," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 143-157.
  19. Storhas, Dominik P. & De Mello, Lurion & Singh, Abhay Kumar, 2020. "Multiscale lead-lag relationships in oil and refined product return dynamics: A symbolic wavelet transfer entropy approach," Energy Economics, Elsevier, vol. 92(C).
  20. Nicoló Andrea Caserini & Paolo Pagnottoni, 2022. "Effective transfer entropy to measure information flows in credit markets," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(4), pages 729-757, October.
  21. Wang, Yuhan & Xiao, Di, 2025. "Novel symbolic detection for flight-to-safety in Bitcoin and investigation of information flow dynamics alongside multiple markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 660(C).
  22. Gu, Danlei & Lin, Aijing & Lin, Guancen, 2022. "Sleep and cardiac signal processing using improved multivariate partial compensated transfer entropy based on non-uniform embedding," Chaos, Solitons & Fractals, Elsevier, vol. 159(C).
  23. Sungwoo Kang, 2026. "Information Propagation Across Investor Types: Transfer Entropy Networks in the Korean Equity Market," Papers 2603.20271, arXiv.org.
  24. Yang, Jie & Feng, Yun & Yang, Hao, 2024. "The spillover and comovement of downside and upside tail risks among crude oil futures markets," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  25. Avishek Bhandari, 2025. "Multi-Scale Network Dynamics and Systemic Risk: A Model Context Protocol Approach to Financial Markets," Papers 2507.08065, arXiv.org.
  26. Zhang, Jinren & Cao, Jinde & Wu, Tao & Huang, Wei & Ma, Tao & Zhou, Xinye, 2023. "A novel adaptive multi-scale Rényi transfer entropy based on kernel density estimation," Chaos, Solitons & Fractals, Elsevier, vol. 175(P1).
  27. Choi, Insu & Lee, Myounggu & Kim, Hyejin & Kim, Woo Chang, 2023. "Elucidating Directed Statistical Dependencies: Investigating Global Financial Market Indices' Influence on Korean Short Selling Activities," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
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