Information Flow Networks of Chinese Stock Market Sectors
Abstract
Transfer entropy measures the strength and direction of information flow between different time series. We study the information flow networks of the Chinese stock market and identify important sectors and information flow paths. This paper uses the daily closing price data of the 28 level-1 sectors from Shenyin \& Wanguo Securities ranging from 2000 to 2017 to study the information transmission between different sectors. We construct...
Paper Details
Title
Information Flow Networks of Chinese Stock Market Sectors
Published Date
Jan 1, 2020
Journal
Volume
8
Pages
13066 - 13077
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