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

Chun-Xiao Nie

Finance Research Letters, 2023, vol. 54, issue C

Abstract: 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.

Keywords: Information flow; Chinese market; IS-analysis; Transfer entropy (search for similar items in EconPapers)
JEL-codes: C32 C58 G14 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001447

DOI: 10.1016/j.frl.2023.103771

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