Predict or to be predicted? A transfer entropy view between adaptive green markets, structural shocks and sentiment index

Abstract

This study assesses green equity markets' behavior in a sense of Lo's adaptive market hypothesis and whether this adaption could be predicted or predicts monetary and commodity structural shocks and sentiment behavior considering normal and uncertain states. Applying Domínguez-Lobato Test, SVAR decomposition and Transfer Entropy methods, the results corroborate the adaptive market hypothesis on green equity markets, and the green equity adaptive markets, structural shocks and Sentiment index are affected by tail distribution events.