Research Article Quantifying Information Flows among Developed and Emerging Equity Markets Ebenezer Boateng , 1 Peterson Owusu Junior , 1 Anokye M. Adam , 1 Mac Jr. Abeka , 1 Thobekile Qabhobho , 2 and Emmanuel Asafo-Adjei 1 1 Department of Finance, School of Business, University of Cape Coast, Cape Coast, Ghana 2 Department of Economics, Faculty of Business and Economic Sciences, Nelson Mandela University, Port Elizabeth, South Africa Correspondence should be addressed to Emmanuel Asafo-Adjei; eaadjei12998@gmail.com Received 5 June 2022; Accepted 14 July 2022; Published 22 August 2022 Academic Editor: Yuxing Li Copyright © 2022 Ebenezer Boateng et al. is is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. We rely on daily changes in implied volatility indices for the US stock market (VIX), developed markets excluding the US (VXEFA), stock markets in Brazil (VXEWZ), Russia (RVI), India (NIFVIX), China (VXFXI), and the overall emerging market volatility index (VXEEM) to examine the degree of information flows among the markets in the coronavirus pandemic. e study also employs the complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) to decompose the data into intrinsic mode functions (IMFs). Subsequently, we cluster the IMFs based on their level of frequencies into short-, medium-, and long-term horizons. e analysis draws on the concept of R´ enyi transfer entropy (RTE) to enable an assessment of linear as well as non-linear and tail-dependence in the markets. e study reports significant information flows from BRIC volatility indices to the overall emerging market volatility index in the short-and medium-terms and vice versa. We also document a mixture of bi- directional and uni-directional flow of high risk information and low risk information emanating from emerging equity markets and from the developed markets. We find that the transmission of high risk information is largely dominated by the developed markets (VIX and VXEFA). In the midst of high degree of contagion, our findings reveal that investors can find minimal benefits by shielding against adverse shocks from the developed markets with a combination of stocks from India and other equities in the emerging markets in the short-term, within 1–15 days. For as low as 1–5 days, the empirical evidence indicates that a portfolio consisting of stocks from Russia and Brazil also offer immunity to shocks from the VXEFA. Our study makes an important empirical contribution to the study of market integration and contagion among emerging markets and developed markets in crisis periods. 1. Introduction e integration of global economies due to cross-border trade and investment flows has increased tremendously over the past three decades. While this phenomenon has had positive repercussions on global stock market development and financial stability [1–4], it has also increased consid- erably the correlations among global equity markets. Cor- ollary to this, the diversification benefits that were apparent among markets have diminished significantly [5]. is phenomenon has also heightened the search for segmented markets by international investors. In this regard, the degree of integration of emerging equities with developed markets has become topical amongst finance scholars in recent times [6–8]. Although emerging equities’ correlations with developed equities have increased over the years, some authors still argue that stocks from emerging markets should be con- sidered as segmented [9, 10]. In support of the segmentation of emerging stock markets, Akbari et al. [11] reveal that while economic integration has been achieved with global markets, financial integration has been slow. Bekaert and Harvey [12] are also of the view that emerging market eq- uities are still not fully integrated with developed markets. To Hindawi Mathematical Problems in Engineering Volume 2022, Article ID 2462077, 19 pages https://doi.org/10.1155/2022/2462077