ArticleEntropy (Basel, Switzerland)2022
Transfer Entropy Granger Causality between News Indices and Stock Markets in U.S. and Latin America during the COVID-19 Pandemic.
Article in Entropy (Basel, Switzerland), 2022. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 2 papers.
What it found
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The abstract states no effect estimate the extractor could read, or names no intervention and outcome on the map, so this paper lights no cell and moves no belief. It is still indexed, cited and linked below.
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Who cites it
2 citing papers in PubMed, 7 citations in OpenAlex.
- The Evolution of the Linkage Among Geopolitical Risk, the US Dollar Index, Crude Oil Prices, and Gold Prices at Multiple Scales: A Wavelet Transform-Based Dynamic Transfer Entropy Network Method.Entropy (Basel, Switzerland) · 2025Article
- Bibliometric Analysis of Granger Causality Studies.Entropy (Basel, Switzerland) · 2023Article
Corrections and comments
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Authors and funding
4 authors at 4 institutions in 3 countries.
Funding
No grant is acknowledged in the PubMed record.
Abstract
The relationship between three different groups of COVID-19 news series and stock market volatility for several Latin American countries and the U.S. are analyzed. To confirm the relationship between these series, a maximal overlap discrete wavelet transform (MODWT) was applied to determine the specific periods wherein each pair of series is significantly correlated. To determine if the news series cause Latin American stock markets' volatility, a one-sided Granger causality test based on transfer entropy (GC-TE) was applied. The results confirm that the U.S. and Latin American stock markets react differently to COVID-19 news. Some of the most statistically significant results were obtained from the reporting case index (RCI), A-COVID index, and uncertainty index, in that order, which are statistically significant for the majority of Latin American stock markets. Altogether, the results suggest these COVID-19 news indices could be used to forecast stock market volatility in the U.S. and Latin America.
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Registered trials
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