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
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author Anagnoste, Sorin
Caraiani, Petre
author_facet Anagnoste, Sorin
Caraiani, Petre
author_sort Anagnoste, Sorin
collection PubMed
description 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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spelling pubmed-75147982020-11-09 The Impact of Financial and Macroeconomic Shocks on the Entropy of Financial Markets Anagnoste, Sorin Caraiani, Petre Entropy (Basel) Article 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. MDPI 2019-03-23 /pmc/articles/PMC7514798/ /pubmed/33267030 http://dx.doi.org/10.3390/e21030316 Text en © 2019 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).
spellingShingle Article
Anagnoste, Sorin
Caraiani, Petre
The Impact of Financial and Macroeconomic Shocks on the Entropy of Financial Markets
title The Impact of Financial and Macroeconomic Shocks on the Entropy of Financial Markets
title_full The Impact of Financial and Macroeconomic Shocks on the Entropy of Financial Markets
title_fullStr The Impact of Financial and Macroeconomic Shocks on the Entropy of Financial Markets
title_full_unstemmed The Impact of Financial and Macroeconomic Shocks on the Entropy of Financial Markets
title_short The Impact of Financial and Macroeconomic Shocks on the Entropy of Financial Markets
title_sort impact of financial and macroeconomic shocks on the entropy of financial markets
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7514798/
https://www.ncbi.nlm.nih.gov/pubmed/33267030
http://dx.doi.org/10.3390/e21030316
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