论文标题
股票市场之间的信息传输：美国和中国之间的比较
Information transfer between stock market sectors: A comparison between the USA and China
论文作者
论文摘要
金融市场中的信息扩散在价格形成过程以及情绪和风险的传播过程中起着至关重要的作用。我们使用2000年至2017年的每日行业指数对中国和美国股市行业之间的信息传输进行比较分析。从一个部门到另一个部门的信息流是通过两个部门指数的每日回报的转移熵来衡量的。我们发现，信息交换中最活跃的部门（即，最大的总信息流入和流出）是中国市场中的{\ textit {non-Bank Financial}}扇区，而在美国市场则是{\ textit {Technology {Technology {Technology {Technology}} sector。这与非银行部门在中国公司融资中的作用以及美国技术创新的影响一致。在每个市场中，最活跃的行业也是最大的信息流，具有最大的信息流入（即流入流出流出）。相反，我们确定主要信息源是中国市场中的{\ textit {bank}}扇区，在美国市场中{\ textit {energy}}扇区。就中国而言，这是由于净银行贷款作为公司活动的信号以及能源定价在影响公司盈利能力中的作用的重要性。有一些领域，例如{\ textit {Real Estate}}扇区，它可能是一个市场中的信息汇，但在另一个市场中是一个信息源，显示了不同市场的复杂行为。总体而言，这些发现表明，在动荡期间，股票市场比稳定时期更加同步或有序。
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 {\textit{non-bank financial}} sector in the Chinese market and the {\textit{technology}} 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 {\textit{bank}} sector in the Chinese market and the {\textit{energy}} 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 {\textit{real estate}} 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.
