成分股之间的多频信息传递与全球股票回报:一种可持续的传统投资方式

Emmanuel Asafo-Adjei, A. Adam, Peterson Owusu Junior, C. Arthur, B. A. Seidu
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引用次数: 1

摘要

目的研究市场成分和全球指数在多频率下的信息流。设计/方法/方法使用基于改进的全集成经验模态分解与自适应噪声(I-CEEMDAN)的聚类分析对r有效传递熵(RETE)进行了分析,得出了研究结果。研究发现,在大多数多频率下,可持续性股票(SEs)和传统股票(CEs)之间存在显著的负信息流动,这加剧了多元化收益。信息流大多是双向的,凸显了股市成分股及其全球指数在投资组合构建中的重要性。研究局限性/启示作者认为,SE和CE市场大多是异质的,揭示了某些程度的市场效率低下。原创性/价值关于中小企业的实证文献充满了几种动态,揭示了它们的回报行为,以实现多样化,对中小企业的回报行为知之甚少。其中,关于企业社会责任(CSR)的一系列倡议要求企业承担社会责任,但投资者需要有一个明确的理由在可预见的未来保持可持续发展。因此,投资者的谦卑愿望是形成一个多元化的投资组合,并将高度需求股票,以形成一个可靠的投资组合,特别是在中小型企业和/或中小型企业中。
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Multi-frequency information transmission among constituents and global equity returns: a sustainable and conventional way of investing
PurposeThis study investigates information flow of market constituents and global indices at multi-frequencies.Design/methodology/approachThe study’s findings were obtained using the Improved Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (I-CEEMDAN)-based cluster analysis executed for Rényi effective transfer entropy (RETE).FindingsThe authors find that significant negative information flows among sustainability equities (SEs) and conventional equities (CEs) at most multi-frequencies, which exacerbates diversification benefits. The information flows are mostly bi-directional, highlighting the importance of stock markets' constituents and their global indices in portfolio construction.Research limitations/implicationsThe authors advocate that both SE and CE markets are mostly heterogeneous, revealing some levels of markets inefficiencies.Originality/valueThe empirical literature on CEs is replete with several dynamics, revealing their returns behaviour for diversification purposes, leaving very little to know about the returns behaviour of SE. Wherein, an avalanche of several initiatives on Corporate Social Responsibility (CSR) enjoin firms to operate socially responsible, but investors need to have a clear reason to remain sustainable into the foreseeable future period. Accordingly, the humble desire of investors is the formation of a well-diversified portfolio and would highly demand stocks to the extent that they form a reliable portfolio, especially, amid SEs and/or CEs.
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来源期刊
CiteScore
6.90
自引率
0.00%
发文量
21
审稿时长
24 weeks
期刊介绍: European Journal of Management and Business Economics is interested in the publication and diffusion of articles of rigorous theoretical, methodological or empirical research associated with the areas of business economics, including strategy, finance, management, marketing, organisation, human resources, operations, and corporate governance, and tourism. The journal aims to attract original knowledge based on academic rigour and of relevance for academics, researchers, professionals, and/or public decision-makers.
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