如何度量金融系统的网络连通性是系统风险分析的重要内容,在近年受到广泛的关注.本文采用传递熵方法分析了美国股票市场的波动性溢出网络连通性.基于构建的网络结构,我们应用了网络向量自回归模型(NVAM)并且感兴趣的是识别在金融系统构成的波动溢出网络中具有影响力的公司.此外,本文采用滑动窗口方法得到了总波动性溢出网络连通性的动态变化规律,该指标在金融危机初期急剧上升,而在经济稳定时期仅在可控范围内波动.结果表明,传递熵在帮助理解金融市场的相关性和信息传递性上具有较大的潜力.“,”Measuring the network connectedness of the financial system is of great importance in systemic risk analysis, and has drawn great attention in recent years. In this paper, we apply the transfer entropy method to analyze the volatility spillover network connectedness of the U. S. stock market. Based on the network structure, we apply the network vector autoregression model ( NVAM) and are interested in identifying the influential firms in volatility spillover network of the financial system. In addition, by using rolling windows, the dynamics of total volatility spillover network connectedness indices are obtained, which shows a sharp rise at the beginning of the financial crisis, while it only fluctuates within a controllable range in the steady economic period. The results show that transfer entropy has great potential for understanding the correlation and information flow of financial markets.