2023
DOI: 10.1371/journal.pone.0282964
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Information flow among stocks, bonds, and convertible bonds

Abstract: This study examines the information flow between convertible bonds (CBs) and other investment assets, such as stocks and bonds. In particular, we employ transfer entropy (TE) as a proxy for the causal effect between the two assets considering that one of the most widely used methods, Granger causality, requires strict assumptions. When adopting TE, we find that asymmetric information flow arising between assets depends on macroeconomic phases. The stock and bond markets affected the CB market prior to and duri… Show more

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References 74 publications
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