Risk spillover networks in financial system based on information theory.

Since the financial system has illustrated an increasingly prominent characteristic of inextricable connections, information theory is gradually utilized to study the financial system. By collecting the daily data of industry index (2005-2020) and region index (2012-2020) listed in China as samples,...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Weibo Li, Wei Liu, Lei Wu, Xue Guo
Formato:	article
Lenguaje:	EN
Publicado:	Public Library of Science (PLoS) 2021
Materias:	Medicine R Science Q
Acceso en línea:	https://doaj.org/article/eac3378901554bc1b8da37b4dda23ba6
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:eac3378901554bc1b8da37b4dda23ba6
record_format	dspace
spelling	oai:doaj.org-article:eac3378901554bc1b8da37b4dda23ba62021-12-02T20:10:24ZRisk spillover networks in financial system based on information theory.1932-620310.1371/journal.pone.0252601https://doaj.org/article/eac3378901554bc1b8da37b4dda23ba62021-01-01T00:00:00Zhttps://doi.org/10.1371/journal.pone.0252601https://doaj.org/toc/1932-6203Since the financial system has illustrated an increasingly prominent characteristic of inextricable connections, information theory is gradually utilized to study the financial system. By collecting the daily data of industry index (2005-2020) and region index (2012-2020) listed in China as samples, this paper applies an innovative measure named partial mutual information on mixed embedding to generate directed networks. Based on the analysis of nonlinear relationships among sectors, this paper realizes the accurate construction of "time-varying" financial network from the perspective of risk spillover. The results are presented as follow: (1) interactions can be better understood through the nonlinear networks among distinct sectors, and sectors in the networks could be classified into different types according to their topological properties connected to risk spillover; (2) in the rising stage, information is transmitted rapidly in the network, so the risk is fast diffused and absorbed; (3) in the declining stage, the network topology is more complex and panic sentiments have long term impact leading to more connections; (4) The US market, Japan market and Hongkong market have significant affect on China's market. The results suggest that this nonlinear measure is an effective approach to develop financial networks and explore the mechanism of risk spillover.Weibo LiWei LiuLei WuXue GuoPublic Library of Science (PLoS)articleMedicineRScienceQENPLoS ONE, Vol 16, Iss 6, p e0252601 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Medicine R Science Q
spellingShingle	Medicine R Science Q Weibo Li Wei Liu Lei Wu Xue Guo Risk spillover networks in financial system based on information theory.
description	Since the financial system has illustrated an increasingly prominent characteristic of inextricable connections, information theory is gradually utilized to study the financial system. By collecting the daily data of industry index (2005-2020) and region index (2012-2020) listed in China as samples, this paper applies an innovative measure named partial mutual information on mixed embedding to generate directed networks. Based on the analysis of nonlinear relationships among sectors, this paper realizes the accurate construction of "time-varying" financial network from the perspective of risk spillover. The results are presented as follow: (1) interactions can be better understood through the nonlinear networks among distinct sectors, and sectors in the networks could be classified into different types according to their topological properties connected to risk spillover; (2) in the rising stage, information is transmitted rapidly in the network, so the risk is fast diffused and absorbed; (3) in the declining stage, the network topology is more complex and panic sentiments have long term impact leading to more connections; (4) The US market, Japan market and Hongkong market have significant affect on China's market. The results suggest that this nonlinear measure is an effective approach to develop financial networks and explore the mechanism of risk spillover.
format	article
author	Weibo Li Wei Liu Lei Wu Xue Guo
author_facet	Weibo Li Wei Liu Lei Wu Xue Guo
author_sort	Weibo Li
title	Risk spillover networks in financial system based on information theory.
title_short	Risk spillover networks in financial system based on information theory.
title_full	Risk spillover networks in financial system based on information theory.
title_fullStr	Risk spillover networks in financial system based on information theory.
title_full_unstemmed	Risk spillover networks in financial system based on information theory.
title_sort	risk spillover networks in financial system based on information theory.
publisher	Public Library of Science (PLoS)
publishDate	2021
url	https://doaj.org/article/eac3378901554bc1b8da37b4dda23ba6
work_keys_str_mv	AT weiboli riskspillovernetworksinfinancialsystembasedoninformationtheory AT weiliu riskspillovernetworksinfinancialsystembasedoninformationtheory AT leiwu riskspillovernetworksinfinancialsystembasedoninformationtheory AT xueguo riskspillovernetworksinfinancialsystembasedoninformationtheory
_version_	1718375034717732864

Risk spillover networks in financial system based on information theory.

Ejemplares similares