The use of transfer entropy to analyse the comovements of European Union stock markets: a dynamical analysis in times of crises

Understanding the linkages among stock markets holds great importance for investors, policymakers and portfolio managers. When considering integration of international given they are complex systems, it is important to understand how related influence each other. Studying data from 25 European Union market indices, this piece research aims evaluate dynamics them. In terms method, a non-linear approach has been applied, based on transfer entropy with static dynamic analysis. As main finding, strongly influential relationship between some indices should be highlighted. The analysis allows us infer that central western countries influencers, while leads conclusion relationships have changed over time, revealing their dynamism. results obtained several implications. For instance, investors managers, information about comovements relevant diversification purposes decisions where make investments, build strategies manage risks; however, policymakers, constant monitoring may detect increases in connection markets, which could understood as signs instability.