Volume 26, Issue 2 (Summer 2021)                   JPBUD 2021, 26(2): 133-152 | Back to browse issues page

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Osoolian M, Koushki A. Prediction of Crisis in Tehran Stock Exchange with Entropy and Analyzing the Identified Crises such as Covid-19. JPBUD. 2021; 26 (2) :133-152
URL: http://jpbud.ir/article-1-1948-en.html
1- Faculty of Management and Accounting, Shahid Beheshti University, Tehran, Iran , m_osoolian@sbu.ac.ir
2- Faculty of Management and Accounting, Shahid Beheshti University, Tehran, Iran.
Abstract:   (1439 Views)
Prediction is one of the most important premises in making investment decisions. Accordingly, investors are keen to be aware of market trends and price returns. For this purpose, several methods have been used in different fields; however, in the present study, the ability to predict the crisis by Cumulative Residual Entropy (CRE) and its generalized type, Fractional Cumulative Residual Entropy (FCRE), has been investigated. The data used in the research include the overall index, volume, trade value, and foreign exchange rate from October 2010 to July 2021. The results showed that both criteria could predict the crisis, but the FCRE is superior in crisis prediction. The identified periods of crisis are 2011-2012, 2014-2016, 2018-2019, and 2020. Each of the crises, including the recent Covid-19, was analyzed and investigated.
Full-Text [PDF 1489 kb]   (257 Downloads)    
Type of Study: Research | Subject: financial economics
Received: 2020/11/23 | Accepted: 2021/09/12 | ePublished: 2021/12/5

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