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Predict or to be predicted? A transfer entropy view between adaptive green markets, structural shocks and sentiment index

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  • Ferreira, Joaquim
  • Morais, Flávio

Abstract

This study assesses green equity markets' behavior in a sense of Lo's adaptive market hypothesis and whether this adaption could be predicted or predicts monetary and commodity structural shocks and sentiment behavior considering normal and uncertain states. Applying Domínguez-Lobato Test, SVAR decomposition and Transfer Entropy methods, the results corroborate the adaptive market hypothesis on green equity markets, and the green equity adaptive markets, structural shocks and Sentiment index are affected by tail distribution events.

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  • Ferreira, Joaquim & Morais, Flávio, 2023. "Predict or to be predicted? A transfer entropy view between adaptive green markets, structural shocks and sentiment index," Finance Research Letters, Elsevier, vol. 56(C).
    • Handle: RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004725
    DOI: 10.1016/j.frl.2023.104100
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    Cited by:

    1. Lin, Xudong & Meng, Yiqun & Zhu, Hao, 2023. "How connected is the crypto market risk to investor sentiment?," Finance Research Letters, Elsevier, vol. 56(C).

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    More about this item

    Keywords

    Non-parametric tests; Entropy; Green markets; Structural shocks; Adaptive market hypothesis;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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