Quantifying the Information Flow between Ghana Stock Market Index and Its Constituents Using Transfer Entropy

<div>(a) Heat maps of the effective transfer entropy matrix <svg height="14.2823pt" id="M85" style="vertical-align:-5.52896pt" version="1.1" viewbox="-0.0498162 -8.75334 36.1438 14.2823" width="36.1438pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M517 162C503 123 484 88 467 68C445 42 417 34 341 34C291 34 256 34 237 47C219 59 213 81 213 128V317H308C395 317 402 311 415 240H444V431H415C403 364 398 356 307 356H213V584C213 613 215 616 246 616H322C394 616 421 609 435 587C448 566 458 544 467 502L496 506C493 557 488 625 488 650H42V622C120 616 128 612 128 523V125C128 43 120 35 29 28V0H511C520 31 540 125 546 158L517 162Z"></path></g><g transform="matrix(.013,0,0,-0.013,7.332,0)"><path d="M592 498C586 556 582 629 581 675H560C545 656 537 650 510 650H115C87 650 74 652 60 675H40C38 620 33 555 28 495H57C69 539 77 568 89 585C102 607 122 616 205 616H267V123C267 44 259 34 168 28V0H454V28C360 34 352 44 352 123V616H422C498 616 514 608 531 584C542 568 552 543 562 495L592 498Z"></path></g><g transform="matrix(.013,0,0,-0.013,15.353,0)"><path d="M517 162C503 123 484 88 467 68C445 42 417 34 341 34C291 34 256 34 237 47C219 59 213 81 213 128V317H308C395 317 402 311 415 240H444V431H415C403 364 398 356 307 356H213V584C213 613 215 616 246 616H322C394 616 421 609 435 587C448 566 458 544 467 502L496 506C493 557 488 625 488 650H42V622C120 616 128 612 128 523V125C128 43 120 35 29 28V0H511C520 31 540 125 546 158L517 162Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,22.822,3.132)"><path d="M545 403C545 425 527 451 498 451C448 451 400 404 312 286L290 341C262 412 246 451 219 451C182 451 138 404 92 345L112 323C152 368 169 378 181 378C192 378 201 359 216 321L257 214C184 115 142 69 113 69C102 69 93 73 88 79S78 89 68 89C47 89 24 61 24 40C24 8 49 -12 75 -12C125 -12 175 31 271 175L312 64C330 15 357 -12 382 -12C421 -12 475 35 515 98L496 121C466 88 439 62 420 62C402 62 384 92 363 147L325 247C349 280 374 309 397 333C422 361 446 381 462 381C471 381 481 374 488 366C493 360 499 357 505 357C521 357 545 380 545 403Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,28,3.132)"><path d="M98 134C72 134 46 117 46 90C46 73 55 65 60 64C95 55 124 32 124 -4C124 -42 95 -68 44 -89L57 -123C122 -104 194 -60 194 22C194 94 136 134 98 134Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,30.157,3.132)"><path d="M563 395C563 428 543 451 519 451C500 451 480 438 472 423C468 415 465 403 470 394C477 381 482 368 482 347C482 272 386 136 342 74H340C334 163 323 257 312 337C302 410 290 451 257 451C214 451 160 385 127 338L145 310C169 341 203 373 209 373C219 373 225 369 232 325C249 215 269 62 271 -15C220 -80 135 -165 18 -231L26 -257L142 -230C254 -105 279 -74 342 13C394 85 484 211 526 286C553 334 563 365 563 395Z"></path></g></svg> and (b) the degree of asymmetric information ﬂow <svg height="14.2823pt" id="M86" style="vertical-align:-5.52896pt" version="1.1" viewbox="-0.0498162 -8.75334 44.508 14.2823" width="44.508pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M600 0V24L339 665L311 657L43 24V0H600ZM497 50H107L303 539L497 50Z"></path></g><g transform="matrix(.013,0,0,-0.013,8.327,0)"><path d="M517 162C503 123 484 88 467 68C445 42 417 34 341 34C291 34 256 34 237 47C219 59 213 81 213 128V317H308C395 317 402 311 415 240H444V431H415C403 364 398 356 307 356H213V584C213 613 215 616 246 616H322C394 616 421 609 435 587C448 566 458 544 467 502L496 506C493 557 488 625 488 650H42V622C120 616 128 612 128 523V125C128 43 120 35 29 28V0H511C520 31 540 125 546 158L517 162Z"></path></g><g transform="matrix(.013,0,0,-0.013,15.659,0)"><path d="M592 498C586 556 582 629 581 675H560C545 656 537 650 510 650H115C87 650 74 652 60 675H40C38 620 33 555 28 495H57C69 539 77 568 89 585C102 607 122 616 205 616H267V123C267 44 259 34 168 28V0H454V28C360 34 352 44 352 123V616H422C498 616 514 608 531 584C542 568 552 543 562 495L592 498Z"></path></g><g transform="matrix(.013,0,0,-0.013,23.68,0)"><path d="M517 162C503 123 484 88 467 68C445 42 417 34 341 34C291 34 256 34 237 47C219 59 213 81 213 128V317H308C395 317 402 311 415 240H444V431H415C403 364 398 356 307 356H213V584C213 613 215 616 246 616H322C394 616 421 609 435 587C448 566 458 544 467 502L496 506C493 557 488 625 488 650H42V622C120 616 128 612 128 523V125C128 43 120 35 29 28V0H511C520 31 540 125 546 158L517 162Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,31.149,3.132)"><path d="M545 403C545 425 527 451 498 451C448 451 400 404 312 286L290 341C262 412 246 451 219 451C182 451 138 404 92 345L112 323C152 368 169 378 181 378C192 378 201 359 216 321L257 214C184 115 142 69 113 69C102 69 93 73 88 79S78 89 68 89C47 89 24 61 24 40C24 8 49 -12 75 -12C125 -12 175 31 271 175L312 64C330 15 357 -12 382 -12C421 -12 475 35 515 98L496 121C466 88 439 62 420 62C402 62 384 92 363 147L325 247C349 280 374 309 397 333C422 361 446 381 462 381C471 381 481 374 488 366C493 360 499 357 505 357C521 357 545 380 545 403Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,36.327,3.132)"><path d="M98 134C72 134 46 117 46 90C46 73 55 65 60 64C95 55 124 32 124 -4C124 -42 95 -68 44 -89L57 -123C122 -104 194 -60 194 22C194 94 136 134 98 134Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,38.484,3.132)"><path d="M563 395C563 428 543 451 519 451C500 451 480 438 472 423C468 415 465 403 470 394C477 381 482 368 482 347C482 272 386 136 342 74H340C334 163 323 257 312 337C302 410 290 451 257 451C214 451 160 385 127 338L145 310C169 341 203 373 209 373C219 373 225 369 232 325C249 215 269 62 271 -15C220 -80 135 -165 18 -231L26 -257L142 -230C254 -105 279 -74 342 13C394 85 484 211 526 286C553 334 563 365 563 395Z"></path></g></svg> among the 32 stocks on Ghana stock market (2009–2018).</div>

Mathematical Problems in Engineering

fig2

Figure 2

Figure 2: Quantifying the Information Flow between Ghana Stock Market Index and Its Constituents Using Transfer Entropy 