The Impact of Financial and Macroeconomic Shocks on the Entropy of Financial Markets

We propose here a method to analyze whether financial and macroeconomic shocks influence the entropy of financial networks. We derive a measure of entropy using the correlation matrix of the stock market components of the DOW Jones Industrial Average (DJIA) index. Using VAR models in different speci...

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Detalles Bibliográficos
Autores principales: Anagnoste, Sorin, Caraiani, Petre
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2019
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7514798/
https://www.ncbi.nlm.nih.gov/pubmed/33267030
http://dx.doi.org/10.3390/e21030316
Descripción
Sumario:We propose here a method to analyze whether financial and macroeconomic shocks influence the entropy of financial networks. We derive a measure of entropy using the correlation matrix of the stock market components of the DOW Jones Industrial Average (DJIA) index. Using VAR models in different specifications, we show that shocks in production or the DJIA index lead to an increase in the entropy of the financial markets.

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