Situated Information Flow between Food Commodity and Regional Equity Markets: An EEMD-Based Transfer Entropy Analysis
The intrinsic information shared by financial assets provides a means of assessing their mutual linkages. In times of crisis, spillovers and information flow between markets increase, and this drives empirical investigations into the degree of connectedness between financial assets. In the context o...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Wiley
2022-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2022/3938331 |
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| author | Samuel Kwaku Agyei Peterson Owusu Junior Ahmed Bossman Emmanuel Yaw Arhin |
| author_facet | Samuel Kwaku Agyei Peterson Owusu Junior Ahmed Bossman Emmanuel Yaw Arhin |
| author_sort | Samuel Kwaku Agyei |
| collection | DOAJ |
| description | The intrinsic information shared by financial assets provides a means of assessing their mutual linkages. In times of crisis, spillovers and information flow between markets increase, and this drives empirical investigations into the degree of connectedness between financial assets. In the context of commodity markets, empirical evidence about the mutual information shared and its influence on portfolio management is largely unknown. This study examines the situated information between the food commodities (cereals, dairy, food, meat, vegetable oil, and sugar) of the FAO and regional stock markets’ returns. From the ensemble empirical mode decomposition (EEMD)-based Rényian transfer entropy analysis employed, we find significant bidirectional information flow between the food commodities and regional equity markets. Our findings divulge that the diversification potentials of food commodities rest in the long term, with sugar being a consistent diversifier across all investment horizons. The investment and policy implications of our findings are further discussed. |
| format | Article |
| id | doaj-art-5a5133a558fa47649497ab0ea0befb0b |
| institution | Kabale University |
| issn | 1607-887X |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-5a5133a558fa47649497ab0ea0befb0b2025-02-03T01:22:58ZengWileyDiscrete Dynamics in Nature and Society1607-887X2022-01-01202210.1155/2022/3938331Situated Information Flow between Food Commodity and Regional Equity Markets: An EEMD-Based Transfer Entropy AnalysisSamuel Kwaku Agyei0Peterson Owusu Junior1Ahmed Bossman2Emmanuel Yaw Arhin3Department of FinanceDepartment of FinanceDepartment of FinanceDepartment of AccountingThe intrinsic information shared by financial assets provides a means of assessing their mutual linkages. In times of crisis, spillovers and information flow between markets increase, and this drives empirical investigations into the degree of connectedness between financial assets. In the context of commodity markets, empirical evidence about the mutual information shared and its influence on portfolio management is largely unknown. This study examines the situated information between the food commodities (cereals, dairy, food, meat, vegetable oil, and sugar) of the FAO and regional stock markets’ returns. From the ensemble empirical mode decomposition (EEMD)-based Rényian transfer entropy analysis employed, we find significant bidirectional information flow between the food commodities and regional equity markets. Our findings divulge that the diversification potentials of food commodities rest in the long term, with sugar being a consistent diversifier across all investment horizons. The investment and policy implications of our findings are further discussed.http://dx.doi.org/10.1155/2022/3938331 |
| spellingShingle | Samuel Kwaku Agyei Peterson Owusu Junior Ahmed Bossman Emmanuel Yaw Arhin Situated Information Flow between Food Commodity and Regional Equity Markets: An EEMD-Based Transfer Entropy Analysis Discrete Dynamics in Nature and Society |
| title | Situated Information Flow between Food Commodity and Regional Equity Markets: An EEMD-Based Transfer Entropy Analysis |
| title_full | Situated Information Flow between Food Commodity and Regional Equity Markets: An EEMD-Based Transfer Entropy Analysis |
| title_fullStr | Situated Information Flow between Food Commodity and Regional Equity Markets: An EEMD-Based Transfer Entropy Analysis |
| title_full_unstemmed | Situated Information Flow between Food Commodity and Regional Equity Markets: An EEMD-Based Transfer Entropy Analysis |
| title_short | Situated Information Flow between Food Commodity and Regional Equity Markets: An EEMD-Based Transfer Entropy Analysis |
| title_sort | situated information flow between food commodity and regional equity markets an eemd based transfer entropy analysis |
| url | http://dx.doi.org/10.1155/2022/3938331 |
| work_keys_str_mv | AT samuelkwakuagyei situatedinformationflowbetweenfoodcommodityandregionalequitymarketsaneemdbasedtransferentropyanalysis AT petersonowusujunior situatedinformationflowbetweenfoodcommodityandregionalequitymarketsaneemdbasedtransferentropyanalysis AT ahmedbossman situatedinformationflowbetweenfoodcommodityandregionalequitymarketsaneemdbasedtransferentropyanalysis AT emmanuelyawarhin situatedinformationflowbetweenfoodcommodityandregionalequitymarketsaneemdbasedtransferentropyanalysis |