Yue Peng, Fan Yaodong, Batten Jonathan A, Zhou Wei-Xing
School of Business, East China University of Science and Technology, Shanghai 200237, China.
School of Business, University of Technology Sydney, Sydney NSW 2007, Australia.
Entropy (Basel). 2020 Feb 7;22(2):194. doi: 10.3390/e22020194.
Information diffusion within financial markets plays a crucial role in the process of price formation and the propagation of sentiment and risk. We perform a comparative analysis of information transfer between industry sectors of the Chinese and the USA stock markets, using daily sector indices for the period from 2000 to 2017. The information flow from one sector to another is measured by the transfer entropy of the daily returns of the two sector indices. We find that the most active sector in information exchange (i.e., the largest total information inflow and outflow) is the sector in the Chinese market and the sector in the USA market. This is consistent with the role of the non-bank sector in corporate financing in China and the impact of technological innovation in the USA. In each market, the most active sector is also the largest information sink that has the largest information inflow (i.e., inflow minus outflow). In contrast, we identify that the main information source is the sector in the Chinese market and the sector in the USA market. In the case of China, this is due to the importance of net bank lending as a signal of corporate activity and the role of energy pricing in affecting corporate profitability. There are sectors such as the sector that could be an information sink in one market but an information source in the other, showing the complex behavior of different markets. Overall, these findings show that stock markets are more synchronized, or ordered, during periods of turmoil than during periods of stability.
金融市场中的信息扩散在价格形成以及情绪和风险的传播过程中起着至关重要的作用。我们利用2000年至2017年期间的每日行业指数，对中国和美国股票市场行业板块之间的信息传递进行了比较分析。从一个板块到另一个板块的信息流通过两个行业指数每日回报率的转移熵来衡量。我们发现，信息交换中最活跃的板块（即总信息流进和流出量最大的板块）在中国市场是 板块，在美国市场是 板块。这与中国非银行板块在企业融资中的作用以及美国技术创新的影响是一致的。在每个市场中，最活跃的板块也是最大的信息汇聚地，即拥有最大信息流进量（即流进量减去流出量）的板块。相比之下，我们确定中国市场的主要信息源是 板块，美国市场的主要信息源是 板块。在中国的情况下，这是由于银行净贷款作为企业活动信号的重要性以及能源定价对企业盈利能力的影响。存在一些板块，如 板块，在一个市场中可能是信息汇聚地，但在另一个市场中却是信息源，这显示了不同市场行为的复杂性。总体而言，这些发现表明，股票市场在动荡时期比在稳定时期更加同步或有序。
