The effective transfer entropy approach offers a novel perspective for measuring information spillover. This study employs this method to investigate the spillover effects of oil price uncertainty (OPU), proxied by the oil implied volatility index, on Chinese sectoral stock returns. Empirical results reveal significant spillover effects of OPU on sectoral stock returns in China, and OPU is the primary information transmitter across the net spillover network. These spillover effects exhibit prominent time-varying characteristics, often increasing during important unexpected events. We find that...
