Quantifying information transfer among precious metals: A novel transfer entropy-based approach

This study looks at the asymmetric information flow between bivariate pairs of daily returns for gold, silver, platinum, and palladium from January 1, 2000, to December 31, 2024. In order to obtain robust estimates while accounting for nonlinear, non-parametric, and asymmetric correlations in bivariate returns series, we employ Shannon and Rényi entropy transfer techniques rather than the widely utilized Granger causality approach. The findings reveal that there was a mixed information flow in the interactions between the precious metals, with gold leading the way in information transmission. Higher integration was found at the higher scale (lower frequency) via the wavelet multiple correlation whiles the wavelet multiple cross correlation reveal insignificant spillover effects since localization occurred at the point of symmetry. Investors and policymakers should understand the importance of time-sensitive information flow for risk assessment and portfolio management, as well as the dynamic interrelationships across market.