O uso da entropía de transferencia para analizar os comovementos dos mercados bolsistas da Unión Europea: unha análise dinámica en tempos de crise
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Comprender os vínculos entre os mercados de valores reviste gran importancia para os investidores, os responsables políticos e os xestores de carteiras. Ao considerar a integración dos mercados bolsistas internacionais e dado que son sistemas complexos, é importante entender como se relacionan e como se inflúen mutuamente. Estudando datos de 25 índices bolsistas da Unión Europea, esta investigación pretende avaliar a dinámica de influencia entre eles. En canto ao método, aplicouse un enfoque non lineal, baseado na entropía de transferencia con análise estática e dinámica. Como principal achado, cabe destacar unha relación de forte influencia entre algúns índices. A análise estática permite inferir que os países do centro e oeste da Unión Europea son os principais influentes, mentres que a análise dinámica lévanos á conclusión de que as relacións entre os mercados bolsistas cambiaron co tempo, revelando o seu dinamismo. Os resultados obtidos teñen varias implicacións. Por exemplo, para os investidores e xestores de carteiras, a información sobre os comovementos é relevante a efectos de diversificación e para as súas decisións sobre onde realizar os seus investimentos, construír estratexias de carteira e xestionar os riscos; con todo, para os responsables políticos, o seguimento constante dos mercados bolsistas pode detectar aumentos na conexión entre os mercados, que poderían entenderse como signos de inestabilidade.
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