Brain function is supported by an appropriate balance between the metabolic demand and the supply of nutrients and oxygen. However, the physiological principles behind the regulation of brain metabolism and demand in premature infants are unknown. Some studies found that changes in hemodynamic variables in this population precede changes in EEG activity; however, these studies only used descriptive statistics. This paper describes the relationship between changes in cerebral oxygenation, assessed by means of near-infrared spectroscopy (NIRS), and changes in EEG, using mathematical methods taken from information dynamics. In a cohort of 35 neonates subjected to sedation by propofol, we quantified the direction of information transfer between brain oxygenation and EEG. The results obtained indicate that, as reported in other studies, changes in NIRS are likely to precede changes in EEG activity.