An information flow among industry sectors in the Korean stock market

作者：Oh Gabjin^*; Oh Tamina; Kim Hoyong; Kwon Okyu

来源：Journal of the Korean Physical Society, 2014, 65(12): 2140-2146.

DOI：10.3938/jkps.65.2140

• Symbolic Transfer Entropy
• Asymmetry information
• Industry sector

We investigate the information flow among 22 industry sectors in the Korean stock market by using the symbolic transfer entropy (STE) method. We consider the daily index of 22 industry sectors in the Korean Composite Stock Price Index (KOSPI) from January 3, 2000 to March 30, 2012. We measure the degree of asymmetry in the information flow and the amount of information flow among the industry sectors before, during, and after the subprime crisis in order to analyze how to relate them to the market crisis. We find that the amount of information flow and the number of connectedness during the financial crisis in the Korean stock market are higher than those before and after the market crisis. In addition, we find the role of the insurance sector, which is related to risk management, increases as information source after the crisis.

• 出版日期2014-12