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

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.

Automated summary

This study examines the dynamics of information flow between sector indices in the Chinese market. The analysis reveals that the effective transfer entropy matrix is time-varying and stable in most periods, with a few critical events strongly influencing the information flow dynamics. The IS-analysis indicates that abnormal IS values coincide with high market volatility and significant events. Particularly, the dominant information source undergoes drastic changes over time in the sequence of information flow networks, indicating the volatility of the dominant sector.