Abstract
This article quantifies the information flow between major equities in the Oil & Gas Midstream and Marine Shipping industries, on the basis of the effective transfer entropy methodology. In addition, the article provides the first analysis of the investors` fear and market expectations in these sectors, according to Rényi entropy approach. The period of study was extended over five years, to fully capture the pre/post-COVID situations. The entropy results reveal a major change in the underlying information flow pattern among equities in the Oil & Gas Midstream and Marine Shipping sectors, in the aftermath of COVID-19. According to the new (post-COVID) paradigm, the stocks in the Oil & Gas Midstream and Integrated Freight & Logistics industries have gained momentum in occupying six of the ten positions within the list of most-influencing equities in the market, in terms of information transmission. The disorder and randomness has decreased for over 89% of the studied equities, after virus outbreak. For the equities detected with high information-transmission standing, the Rényi entropy results indicate that investors more likely showed higher level of future expectations and lower level of fear regarding frequent market events, within the post-COVID timeline. Doi: 10.28991/HIJ-2021-02-04-07 Full Text: PDF
Highlights
The world has witnessed a different scenery since the emergence of the Coronavirus (COVID-19)
One of such major changes has been the implementation of worldwide Non-Pharmaceutical Interventions (NPI) – mainly in the form of mandatory quarantines, business closures and international travel restrictions - in order to control the spread of the virus
If the entropy is considered as a proxy to measure the uncertainty level inherent in optimally encoding the independent draws of a discrete random variable, the formulation of transfer entropy would be based on the premise of Shannon entropy [42]
Summary
The world has witnessed a different scenery since the emergence of the Coronavirus (COVID-19). One of such major changes has been the implementation of worldwide Non-Pharmaceutical Interventions (NPI) – mainly in the form of mandatory quarantines, business closures and international travel restrictions - in order to control the spread of the virus. Among the repercussions of NPI, the diminishing international trade [4] - caused jointly by reduced production and market demand- should logically impact the transportation industry, in a sequel. A growing body of literature have focused on the impact of COVID-19 issue on the marine transportation sector, in terms of performance [6,7,8,9,10] and equity market reactions [5]. Xu et al (2021) [6] conducted a structural
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