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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, Mohammad Abedin Orcid Logo, Baofeng Shi

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

Swansea University Author: Mohammad Abedin Orcid Logo

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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
first_indexed 2023-09-19T12:45:58Z
last_indexed 2024-11-25T14:13:43Z
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spelling 2023-09-20T10:50:28.4183955 v2 64249 2023-08-31 Quantifying information transfer among clean energy, carbon, oil, and precious metals: A novel transfer entropy-based approach 4ed8c020eae0c9bec4f5d9495d86d415 0000-0002-4688-0619 Mohammad Abedin Mohammad Abedin true false 2023-08-31 CBAE 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 Management School COLLEGE CODE CBAE 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 Mohammad Abedin 0000-0002-4688-0619 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
Mohammad 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_***_Mohammad Abedin
author Mohammad Abedin
author2 Zouhaier Dhifaoui
Rabeh Khalfaoui
Mohammad 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 2022-10-31T02:41:53Z
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score 11.04748

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