Khảo sát dòng chảy thông tin giữa các ngành trên thị trường chứng khoán Việt Nam: Tiếp cận bằng Transfer Entropy
DOI:
https://doi.org/10.24311/jabes/2023.34.12.5Keywords:
Transfer entropy, Information Flows, Vietnamese Stock Market, Sectorial Index, Transfer InformationAbstract
The article employs transfer entropy to measure the flows of information among 10 sectoral indices in the Vietnamese stock market from 2017 to 2023. The considered sectors include Consumer Discretionary, Consumer Staples, Energy, Financials, Health Care, Industrials, Information Technology, Materials, Real Estate, and Utilities. The analyses in the article reveal that the sector with the most significant two-way information relationship is the Financials. The Financial sector exhibits robust outgoing information to various other sectors, including Industrials, Information Technology, Consumer Discretionary, and several others. The sector that receives the most information is the Energy sector, while the sector with the least interaction with other sectors is the Healthcare. In addition, after 2 trading days, the information flows among sectors become stronger and more widespread. The greatest spread of information occurs after 3 to 4 trading days. After 5 days, the flow of information becomes weaker.
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