Table S2

Multi-frequency entropy analysis of information flows between other global equities and constituents


Equities		Flows towards global equitiesFlows towards other equities
HFQMFQLFQRESIDHFQMFQLFQRESID
DJSWOthers
DJAT−0.110−0.137−0.051−0.081−0.064−0.138−0.033−0.080
DJIME−0.122−0.132−0.019−0.062−0.132−0.132−0.137−0.111
DJMENA−0.068−0.101−0.033−0.080−0.100−0.101−0.017−0.080
DJSAP−0.124−0.147−0.054−0.081−0.077−0.090−0.050−0.055
DJSE−0.081−0.157−0.054−0.036−0.043−0.116−0.055−0.054
DJSEM−0.111−0.177−0.015−0.081−0.108−0.134−0.017−0.056
DJSEZ−0.137−0.072−0.033−0.081−0.108−0.101−0.060−0.081
DJSNA−0.151−0.141−0.055−0.082−0.134−0.135−0.044−0.081
DJSUS−0.153−0.137−0.033−0.059−0.142−0.078−0.071−0.058
DJSWD−0.109−0.182−0.038−0.042−0.103−0.178−0.042−0.054
S.PAA−0.135−0.118−0.054−0.067−0.141−0.146−0.054−0.072
S.PBRICT−0.108−0.123−0.038−0.081−0.081−0.039−0.076−0.055
S.PEA−0.132−0.061−0.039−0.081−0.101−0.070−0.033−0.056
S.PFBMIS−0.084−0.106−0.037−0.081−0.085−0.134−0.036−0.055
S.PGBMI−0.130−0.136−0.034−0.081−0.107−0.116−0.033−0.081
S.PLABMI−0.118−0.126−0.056−0.025−0.107−0.109−0.055−0.026
S.PNA−0.008−0.080−0.054−0.081−0.097−0.110−0.095−0.056
S.PPAFS−0.069−0.032−0.055−0.056−0.081−0.070−0.049−0.064
S.PSSA−0.133−0.130−0.018−0.081−0.065−0.122−0.122−0.081
NAMERICAI−0.151−0.138−0.043−0.010−0.136−0.114−0.040−0.013
NAREITs−0.079−0.136−0.055−0.046−0.060−0.095−0.055−0.017
NASIAI−0.109−0.149−0.054−0.081−0.045−0.128−0.055−0.055
NBRICI−0.083−0.123−0.016−0.080−0.102−0.075−0.046−0.056
NDMI−0.148−0.117−0.055−0.081−0.145−0.070−0.036−0.056
NEMI−0.089−0.163−0.055−0.081−0.075−0.126−0.037−0.080
NEUROPI−0.118−0.124−0.055−0.080−0.097−0.118−0.042−0.080
NEUROZI−0.130−0.124−0.034−0.042−0.115−0.123−0.033−0.042
NGMCI−0.099−0.065−0.049−0.081−0.095−0.109−0.044−0.056
NGVOLNDX0.0080.046−0.022−0.042−0.021−0.009−0.046−0.043
DJSWDOthers
DJAT−0.072−0.170−0.038−0.055−0.042−0.157−0.024−0.042
DJIME−0.121−0.129−0.019−0.054−0.128−0.140−0.090−0.033
DJMENA−0.070−0.102−0.035−0.055−0.104−0.106−0.025−0.042
DJSAP−0.127−0.130−0.054−0.033−0.092−0.139−0.049−0.018
DJSE−0.058−0.144−0.055−0.055−0.048−0.111−0.055−0.054
DJSEM−0.078−0.171−0.037−0.033−0.067−0.143−0.039−0.017
DJSEZ−0.093−0.065−0.055−0.037−0.086−0.095−0.030−0.029
DJSNA−0.148−0.144−0.033−0.055−0.127−0.129−0.070−0.042
DJSUS−0.157−0.133−0.055−0.054−0.135−0.118−0.046−0.042
DJSW−0.106−0.177−0.042−0.054−0.107−0.180−0.038−0.043
S.PAA−0.105−0.117−0.055−0.055−0.115−0.114−0.055−0.042
S.PBRICT−0.100−0.121−0.055−0.033−0.052−0.043−0.043−0.018
S.PEA−0.128−0.067−0.055−0.033−0.100−0.116−0.042−0.017
S.PFBMIS−0.093−0.115−0.033−0.033−0.094−0.133−0.033−0.017
S.PGBMI−0.158−0.135−0.036−0.055−0.117−0.111−0.037−0.042
S.PLABMI−0.100−0.134−0.034−0.033−0.084−0.117−0.032−0.026
S.PNA−0.045−0.074−0.055−0.033−0.121−0.114−0.044−0.017
S.PPAFS−0.062−0.070−0.054−0.055−0.086−0.066−0.048−0.042
S.PSSA−0.092−0.133−0.055−0.055−0.069−0.117−0.089−0.042
NAMERICAI−0.153−0.143−0.034−0.055−0.127−0.114−0.033−0.055
NAREITs−0.089−0.131−0.055−0.042−0.064−0.101−0.055−0.012
NASIAI−0.099−0.142−0.054−0.032−0.075−0.130−0.054−0.017
NBRICI−0.071−0.079−0.036−0.033−0.098−0.024−0.022−0.017
NDMI−0.153−0.132−0.055−0.033−0.152−0.085−0.031−0.017
NEMI−0.056−0.152−0.055−0.055−0.055−0.130−0.036−0.042
NEUROPI−0.069−0.119−0.055−0.032−0.062−0.126−0.042−0.026
NEUROZI−0.093−0.111−0.034−0.033−0.073−0.118−0.035−0.026
NGMCI−0.052−0.060−0.037−0.033−0.089−0.104−0.033−0.017
NGVOLNDX−0.0050.051−0.036−0.033−0.015−0.002−0.117−0.026

Source(s): Table by authors

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