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Quantifying information transfer among clean energy, carbon, oil, and precious metals: A novel transfer entropy-based approach

Zouhaier Dhifaoui, Rabeh Khalfaoui, Abedin Abedin, Baofeng Shi

Finance Research Letters, Volume: 49, Start page: 103138

Swansea University Author: Abedin Abedin

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DOI (Published version): 10.1016/j.frl.2022.103138

Abstract

Measuring the strength and direction of information flow between markets plays a vital role for investors and policymakers. In this study, we propose a novel approach: the empirical mode decomposition variable lag relative transfer entropy (EMD-VL relative transfer entropy) to assess the pairwise re...

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Published in: Finance Research Letters
ISSN: 1544-6123 1544-6131
Published: Elsevier BV 2022
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URI: https://cronfa.swan.ac.uk/Record/cronfa64249
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first_indexed 2023-09-19T12:45:58Z
last_indexed 2023-09-19T12:45:58Z
id cronfa64249
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spelling v2 64249 2023-08-31 Quantifying information transfer among clean energy, carbon, oil, and precious metals: A novel transfer entropy-based approach 4ed8c020eae0c9bec4f5d9495d86d415 Abedin Abedin Abedin Abedin true false 2023-08-31 BAF Measuring the strength and direction of information flow between markets plays a vital role for investors and policymakers. In this study, we propose a novel approach: the empirical mode decomposition variable lag relative transfer entropy (EMD-VL relative transfer entropy) to assess the pairwise relative causal information transfer over time and scale. Using clean and dirty energy, carbon, and precious metals, we show strong evidence of bidirectional causal information transmission between markets over time-frequency domain. Journal Article Finance Research Letters 49 103138 Elsevier BV 1544-6123 1544-6131 EMD decomposition, Transfer entropy, Information flow, Clean energy, Precious metals, Crude oil 31 10 2022 2022-10-31 10.1016/j.frl.2022.103138 http://dx.doi.org/10.1016/j.frl.2022.103138 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University This work was supported in part by the National Natural Science Foundation of China (Nos. 72173096, 71873103), the Key Project of National Natural Science Foundation of China (No. 71731003). Shi acknowledges financial support from the Tang Scholar Program of Northwest A&F University (No. 2021-04). 2023-09-20T10:50:28.4183955 2023-08-31T17:49:43.6315068 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Zouhaier Dhifaoui 1 Rabeh Khalfaoui 2 Abedin Abedin 3 Baofeng Shi 4
title Quantifying information transfer among clean energy, carbon, oil, and precious metals: A novel transfer entropy-based approach
spellingShingle Quantifying information transfer among clean energy, carbon, oil, and precious metals: A novel transfer entropy-based approach
Abedin Abedin
title_short Quantifying information transfer among clean energy, carbon, oil, and precious metals: A novel transfer entropy-based approach
title_full Quantifying information transfer among clean energy, carbon, oil, and precious metals: A novel transfer entropy-based approach
title_fullStr Quantifying information transfer among clean energy, carbon, oil, and precious metals: A novel transfer entropy-based approach
title_full_unstemmed Quantifying information transfer among clean energy, carbon, oil, and precious metals: A novel transfer entropy-based approach
title_sort Quantifying information transfer among clean energy, carbon, oil, and precious metals: A novel transfer entropy-based approach
author_id_str_mv 4ed8c020eae0c9bec4f5d9495d86d415
author_id_fullname_str_mv 4ed8c020eae0c9bec4f5d9495d86d415_***_Abedin Abedin
author Abedin Abedin
author2 Zouhaier Dhifaoui
Rabeh Khalfaoui
Abedin Abedin
Baofeng Shi
format Journal article
container_title Finance Research Letters
container_volume 49
container_start_page 103138
publishDate 2022
institution Swansea University
issn 1544-6123
1544-6131
doi_str_mv 10.1016/j.frl.2022.103138
publisher Elsevier BV
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
url http://dx.doi.org/10.1016/j.frl.2022.103138
document_store_str 0
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description Measuring the strength and direction of information flow between markets plays a vital role for investors and policymakers. In this study, we propose a novel approach: the empirical mode decomposition variable lag relative transfer entropy (EMD-VL relative transfer entropy) to assess the pairwise relative causal information transfer over time and scale. Using clean and dirty energy, carbon, and precious metals, we show strong evidence of bidirectional causal information transmission between markets over time-frequency domain.
published_date 2022-10-31T10:50:25Z
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