IDEAS home Printed from https://ideas.repec.org/a/hin/jnddns/3938331.html
   My bibliography  Save this article

Situated Information Flow between Food Commodity and Regional Equity Markets: An EEMD-Based Transfer Entropy Analysis

Author

Listed:
  • Samuel Kwaku Agyei
  • Peterson Owusu Junior
  • Ahmed Bossman
  • Emmanuel Yaw Arhin
  • Stefan Cristian Gherghina

Abstract

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.

Suggested Citation

  • Samuel Kwaku Agyei & Peterson Owusu Junior & Ahmed Bossman & Emmanuel Yaw Arhin & Stefan Cristian Gherghina, 2022. "Situated Information Flow between Food Commodity and Regional Equity Markets: An EEMD-Based Transfer Entropy Analysis," Discrete Dynamics in Nature and Society, Hindawi, vol. 2022, pages 1-28, April.
    • Handle: RePEc:hin:jnddns:3938331
    DOI: 10.1155/2022/3938331
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/ddns/2022/3938331.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/ddns/2022/3938331.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2022/3938331?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mensi, Walid & Gubareva, Mariya & Teplova, Tamara & Kang, Sang Hoon, 2023. "Spillover and connectedness among G7 real estate investment trusts: The effects of investor sentiment and global factors," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    2. Bossman, Ahmed & Gubareva, Mariya & Teplova, Tamara, 2023. "Asymmetric effects of market uncertainties on agricultural commodities," Energy Economics, Elsevier, vol. 127(PB).
    3. Bossman, Ahmed & Umar, Zaghum & Teplova, Tamara, 2022. "Modelling the asymmetric effect of COVID-19 on REIT returns: A quantile-on-quantile regression analysis," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    4. Tihana Škrinjarić, 2022. "Higher Moments Actually Matter: Spillover Approach for Case of CESEE Stock Markets," Mathematics, MDPI, vol. 10(24), pages 1-34, December.
    5. Agyei, Samuel Kwaku & Umar, Zaghum & Bossman, Ahmed & Teplova, Tamara, 2023. "Dynamic connectedness between global commodity sectors, news sentiment, and sub-Saharan African equities," Emerging Markets Review, Elsevier, vol. 56(C).
    6. Bossman, Ahmed & Agyei, Samuel Kwaku, 2022. "Interdependence structure of global commodity classes and African equity markets: A vector wavelet coherence analysis," Resources Policy, Elsevier, vol. 79(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:jnddns:3938331. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.