Time-varying characteristics of information flow networks in the Chinese market: An analysis based on sector indices

被引:2
作者
Nie, Chun-Xiao [1 ,2 ]
机构
[1] Zhejiang Gongshang Univ, Sch Stat & Math, Hangzhou 310018, Peoples R China
[2] Zhejiang Gongshang Univ, Collaborat Innovat Ctr Stat Data Engn Technol & Ap, Hangzhou 310018, Peoples R China
关键词
Information flow; Chinese market; IS-analysis; Transfer entropy; TRANSFER ENTROPY; SERIES; PRICE;
D O I
10.1016/j.frl.2023.103771
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This study analyses the dynamics of the information flow between sector indices in the Chinese market. Calculations show that the effective transfer entropy matrix is time-varying and stable over most periods, and that a few critical events strongly affect the information flow dynamics. We analyse the dynamics using IS (influence strength)-analysis and find that abnormal IS values were accompanied by high market volatility and major events. In particular, we find that the dominant information source changes drastically over time in the sequence of information flow networks, suggesting that the dominant sector is volatile.
引用
收藏
页数:9
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