Measure the flow of information from financial markets to gold market by transfer entropy: Evidence from Vietnam
Keywords:
Gold price, Crude oil price, Federal funds rate, Shannon entropy, Transfer entropy
Abstract
Measuring the information flows between financial markets brings benefits for investors and
policymakers. This study considers information flows from the US gold market, crude oil, Federal funds rate
to the Vietnames gold market from 4th January, 2004 to 7th December, 2023 using transfer entropy. The
data is collected from Fred.stlouisfed.org and World Gold Council. The results show that among examining
factors US gold price has strongest impact on Vietnames gold, meanwhile, the gold market reacts more
slowly the information from US crude oil market and Federal funds rate. The outcome provides a reference
channel for investors to make decisions.
