Table 4

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


Equities		Flows towards global equitiesFlows towards other equities
HFQMFQLFQRESIDHFQMFQLFQRESID
S.PGBMIOthers
DJAT−0.096−0.132−0.033−0.081−0.106−0.071−0.027−0.081
DJIME−0.129−0.103−0.017−0.063−0.109−0.099−0.090−0.166
DJMENA−0.082−0.1130.086−0.080−0.087−0.123−0.101−0.080
DJSAP−0.081−0.130−0.054−0.080−0.075−0.132−0.051−0.056
DJSE−0.072−0.139−0.033−0.038−0.063−0.130−0.033−0.053
DJSEM−0.090−0.141−0.055−0.081−0.106−0.054−0.055−0.056
DJSEZ−0.133−0.118−0.041−0.081−0.149−0.126−0.119−0.080
DJSNA−0.133−0.133−0.037−0.080−0.131−0.140−0.119−0.081
DJSUS−0.125−0.118−0.033−0.080−0.130−0.120−0.069−0.080
DJSW−0.104−0.108−0.033−0.080−0.130−0.131−0.033−0.080
DJSWD−0.113−0.108−0.038−0.043−0.164−0.132−0.036−0.056
S.PAA−0.100−0.059−0.037−0.081−0.108−0.133−0.034−0.080
S.PBRICT−0.101−0.131−0.041−0.080−0.108−0.052−0.071−0.056
S.PEA−0.145−0.066−0.036−0.081−0.130−0.070−0.025−0.056
S.PFBMIS−0.082−0.149−0.021−0.080−0.094−0.139−0.025−0.055
S.PLABMI−0.061−0.122−0.054−0.025−0.0600.001−0.055−0.026
S.PNA−0.098−0.112−0.033−0.081−0.114−0.113−0.073−0.056
S.PPAFS−0.076−0.099−0.055−0.080−0.1320.005−0.046−0.081
S.PSSA−0.080−0.099−0.037−0.080−0.080−0.110−0.107−0.081
NAMERICAI−0.081−0.101−0.029−0.025−0.118−0.129−0.042−0.033
NAREITs−0.071−0.149−0.034−0.046−0.028−0.072−0.033−0.017
NASIAI−0.072−0.135−0.035−0.080−0.073−0.175−0.036−0.056
NBRICI−0.090−0.112−0.054−0.081−0.115−0.084−0.040−0.056
NDMI−0.110−0.066−0.055−0.080−0.128−0.180−0.031−0.056
NEMI−0.069−0.111−0.033−0.081−0.085−0.077−0.115−0.080
NEUROPI−0.100−0.114−0.054−0.081−0.111−0.111−0.042−0.080
NEUROZI−0.122−0.118−0.055−0.029−0.147−0.116−0.055−0.033
NGMCI−0.078−0.129−0.034−0.080−0.102−0.101−0.035−0.056
NGVOLNDX−0.064−0.003−0.055−0.043−0.034−0.054−0.043−0.043
NGMCIOthers
DJAT−0.103−0.075−0.025−0.056−0.119−0.011−0.047−0.081
DJIME−0.052−0.096−0.036−0.056−0.104−0.104−0.063−0.079
DJMENA−0.029−0.014−0.036−0.056−0.120−0.147−0.020−0.080
DJSAP−0.067−0.181−0.033−0.094−0.088−0.185−0.078−0.094
DJSE−0.099−0.173−0.054−0.024−0.086−0.100−0.054−0.053
DJSEM−0.040−0.161−0.033−0.094−0.112−0.050−0.034−0.094
DJSEZ−0.068−0.031−0.027−0.047−0.073−0.114−0.053−0.065
DJSNA−0.138−0.140−0.055−0.056−0.126−0.034−0.038−0.080
DJSUS−0.122−0.085−0.034−0.056−0.124−0.075−0.117−0.081
DJSW−0.101−0.107−0.044−0.056−0.091−0.064−0.048−0.080
DJSWD−0.092−0.109−0.033−0.018−0.057−0.059−0.038−0.033
S.PAA−0.084−0.148−0.055−0.056−0.093−0.173−0.055−0.081
S.PBRICT−0.093−0.117−0.044−0.094−0.086−0.031−0.070−0.093
S.PEA−0.126−0.071−0.024−0.093−0.091−0.098−0.023−0.093
S.PFBMIS−0.101−0.131−0.043−0.093−0.085−0.089−0.040−0.093
S.PGBMI−0.098−0.108−0.035−0.056−0.080−0.123−0.034−0.081
S.PLABMI−0.060−0.119−0.054−0.040−0.103−0.114−0.054−0.059
S.PNA−0.063−0.073−0.055−0.094−0.066−0.151−0.045−0.093
S.PPAFS−0.062−0.075−0.055−0.056−0.106−0.050−0.041−0.081
S.PSSA−0.071−0.105−0.038−0.056−0.088−0.095−0.104−0.081
NAMERICAI−0.108−0.112−0.056−0.017−0.122−0.031−0.048−0.034
NAREITs−0.081−0.115−0.054−0.032−0.052−0.077−0.054−0.017
NASIAI−0.111−0.137−0.054−0.093−0.089−0.126−0.054−0.094
NBRICI−0.042−0.127−0.034−0.093−0.060−0.007−0.066−0.093
NDMI−0.093−0.102−0.042−0.094−0.084−0.087−0.021−0.093
NEMI−0.039−0.024−0.033−0.056−0.091−0.111−0.117−0.080
NEUROPI−0.060−0.106−0.055−0.056−0.089−0.058−0.042−0.081
NEUROZI−0.080−0.091−0.056−0.056−0.070−0.090−0.055−0.081
NGVOLNDX−0.012−0.036−0.025−0.056−0.0770.089−0.066−0.081

Source(s): Table by authors

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