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Dependency relations among stock market indices using transfer entropy : evidence from Bursa Malaysia / Izzul Adha Mohd Razali

Quite a number of literature exists on networks in finance and most of them are usually related to interbank market to find the correlation between borrowing and lending only. However, there were less studies of dependency between stock market indices. The current study seeks to explain the methods...

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Main Author: Mohd Razali, Izzul Adha
Format: Student Project
Language:English
Published: 2016
Subjects:
Demographic surveys
General works. Financial institutions
Malaysia
Online Access:https://ir.uitm.edu.my/id/eprint/73042/1/73042.pdf
https://ir.uitm.edu.my/id/eprint/73042/
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spelling my.uitm.ir.730422023-02-23T07:54:49Z https://ir.uitm.edu.my/id/eprint/73042/ Dependency relations among stock market indices using transfer entropy : evidence from Bursa Malaysia / Izzul Adha Mohd Razali Mohd Razali, Izzul Adha Demographic surveys General works. Financial institutions Malaysia Quite a number of literature exists on networks in finance and most of them are usually related to interbank market to find the correlation between borrowing and lending only. However, there were less studies of dependency between stock market indices. The current study seeks to explain the methods to develop networks of stock market indices using information and correlation based measures. Plus, the aim of the research is to find the best method to determine the correlation between stock index return and different types of industries in Bursa Malaysia. Secondary data were collected from 10 different stock indices in Bursa Malaysia for ten years (2006-2015). Then, the absolute values of stock market indices were used as well as their single-day lagged values to show the correlation and the flow of information from one stock index to another. The formulism of partial correlations was carried out to build the dependency network of data and calculate the partial Transfer Entropy to quantify the indirect influence the indices have on one another. Findings from the current work suggests that Transfer Entropy is an effective way to quantify the flow of information between indices and that a high degree of information flow between indices lagged by one day coincides with the indices on the current day. 2016 Student Project NonPeerReviewed text en https://ir.uitm.edu.my/id/eprint/73042/1/73042.pdf Dependency relations among stock market indices using transfer entropy : evidence from Bursa Malaysia / Izzul Adha Mohd Razali. (2016) [Student Project] (Unpublished)
institution Universiti Teknologi Mara
building Tun Abdul Razak Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Mara
content_source UiTM Institutional Repository
url_provider http://ir.uitm.edu.my/
language English
topic Demographic surveys
General works. Financial institutions
Malaysia
spellingShingle Demographic surveys
General works. Financial institutions
Malaysia
Mohd Razali, Izzul Adha
Dependency relations among stock market indices using transfer entropy : evidence from Bursa Malaysia / Izzul Adha Mohd Razali
description Quite a number of literature exists on networks in finance and most of them are usually related to interbank market to find the correlation between borrowing and lending only. However, there were less studies of dependency between stock market indices. The current study seeks to explain the methods to develop networks of stock market indices using information and correlation based measures. Plus, the aim of the research is to find the best method to determine the correlation between stock index return and different types of industries in Bursa Malaysia. Secondary data were collected from 10 different stock indices in Bursa Malaysia for ten years (2006-2015). Then, the absolute values of stock market indices were used as well as their single-day lagged values to show the correlation and the flow of information from one stock index to another. The formulism of partial correlations was carried out to build the dependency network of data and calculate the partial Transfer Entropy to quantify the indirect influence the indices have on one another. Findings from the current work suggests that Transfer Entropy is an effective way to quantify the flow of information between indices and that a high degree of information flow between indices lagged by one day coincides with the indices on the current day.
format Student Project
author Mohd Razali, Izzul Adha
author_facet Mohd Razali, Izzul Adha
author_sort Mohd Razali, Izzul Adha
title Dependency relations among stock market indices using transfer entropy : evidence from Bursa Malaysia / Izzul Adha Mohd Razali
title_short Dependency relations among stock market indices using transfer entropy : evidence from Bursa Malaysia / Izzul Adha Mohd Razali
title_full Dependency relations among stock market indices using transfer entropy : evidence from Bursa Malaysia / Izzul Adha Mohd Razali
title_fullStr Dependency relations among stock market indices using transfer entropy : evidence from Bursa Malaysia / Izzul Adha Mohd Razali
title_full_unstemmed Dependency relations among stock market indices using transfer entropy : evidence from Bursa Malaysia / Izzul Adha Mohd Razali
title_sort dependency relations among stock market indices using transfer entropy : evidence from bursa malaysia / izzul adha mohd razali
publishDate 2016
url https://ir.uitm.edu.my/id/eprint/73042/1/73042.pdf
https://ir.uitm.edu.my/id/eprint/73042/
_version_ 1758953526087647232
score 13.211869

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