We use transfer entropy to quantify information flows between financial markets and propose
a suitable bootstrap procedure for statistical inference. Transfer entropy is a model-free …

We quantify the strength and the directionality of information transfer between the Ghana
stock market index and its component stocks as well as observe the same among the …

This study sheds new light on the lead-lag relationships between crude oil and refined
product return dynamics in the time and the frequency space. For this purpose, a novel …

Purpose This study examines the risk spillovers between Indonesian sectorial stocks
(Energy, Basic Materials, Industrials, Consumer Cyclicals, Consumer Non-cyclical and …

We present the results of two efficiency measures that include intraday return predictability
measure based on order imbalance and measures of several variance ratio tests on intraday …

We investigate the information flow between industrial sectors in credit default swap and
stock markets in the United States based on transfer entropy. Both markets have been …

In this paper we propose to study the dynamics of financial contagion between the credit
default swap (CDS) and the sovereign bond markets through effective transfer entropy, a …

This article is an attempt to study the cointegration and causality between agricultural
commodities and Fast Moving Consumer Goods (FMCG) stock index in India for the period …

This article's primary objective is to evaluate, within the Indian setting, the degree to which
energy commodities and energy stock prices correlate and are causally related. Weekly spot …

In this article, we provided a comprehensive discussion about the major financial crises and
their details based on some major historical financial crises. The crises include the stock …