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Who dominate the information flowing between innovative and traditional financial assets? A multiscale entropy-based approach

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  • Zhou, Yang
  • Xie, Chi
  • Wang, Gang-Jin
  • Gong, Jue
  • Li, Zhao-Chen
  • Zhu, You

Abstract

We investigate the interactions between innovative financial assets (e.g., FinTech-related stocks, green bonds, and cryptocurrencies) and traditional ones (e.g., global equities, gold, crude oil, U.S. dollar, and government bonds) at short-, medium-, and long-time scales by adopting the multiscale entropy-based approach, through which the dominant influencers in information flowing are identified. Also, we discuss the impact of unprecedented events exemplified by the COVID-19 pandemic. Further, we propose the high-transfer-entropy trading strategy that considers the dominant influencers. The empirical results show that (i) the information exchange is heterogenous at three time scales, with the greatest intensity at short-time scale; (ii) no isolated dominant influencer is discovered, and the traditional assets are stronger influencers in long term while the innovative assets are more influential in short and medium terms; (iii) the COVID-19 pandemic alters the magnitude and direction of information transfer, during which the influence of innovative assets relative to traditional assets enhances evidently; and (iv) the high-transfer-entropy strategy can effectively provide the investor with excess returns.

Suggested Citation

  • Zhou, Yang & Xie, Chi & Wang, Gang-Jin & Gong, Jue & Li, Zhao-Chen & Zhu, You, 2024. "Who dominate the information flowing between innovative and traditional financial assets? A multiscale entropy-based approach," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 329-358.
    • Handle: RePEc:eee:reveco:v:93:y:2024:i:pb:p:329-358
    DOI: 10.1016/j.iref.2024.04.027
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    More about this item

    Keywords

    Digital financial assets; Green financial assets; Information flowing; Entropy; Multi-time scale analysis;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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