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

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  • Nie, Chun-Xiao

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.

Suggested Citation

  • Nie, Chun-Xiao, 2023. "Time-varying characteristics of information flow networks in the Chinese market: An analysis based on sector indices," Finance Research Letters, Elsevier, vol. 54(C).
    • Handle: RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001447
    DOI: 10.1016/j.frl.2023.103771
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    More about this item

    Keywords

    Information flow; Chinese market; IS-analysis; Transfer entropy;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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