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


XML Persian Abstract Print


Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

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

References
1. Abbasi, E., Dehghan Nayeri, L., & Poordadash Mehrabani, N. (2016). Surveying the Relation among Volume, Stock Return and Return Volatility in the Tehran Stock Exchange: A Wavelet Analysis. Journal of Asset Management and Financing, 4(4), 99-114. [DOI:https://dx.doi.org/10.22108/amf.2016.21115]
2. Ahn, K., Lee, D., Sohn, S., & Yang, B. (2019). Stock Market Uncertainty and Economic Fundamentals: An Entropy-Based Approach. Quantitative Finance, 19(7), 1151-1163. [DOI:10.1080/14697688.2019.1579922]
3. Assadi, G., Shabani, K., Nabavian, S. M., & Ghorbani, M. (2017). The Association of Earning Management and Financial Distress With in Global Financial Crisis Period in Tehran Stock Exchange. Accounting and Auditing Research, 9(35), 21-38. [http://www.iaaaar.com/article_98774.html]
4. Cao, J., & Wang, J. (2020). Exploration of Stock Index Change Prediction Model Based on the Combination of Principal Component Analysis and Artificial Neural Network. Soft Computing, 24(11), 7851-7860. [DOI:10.1007/s00500-019-03918-3]
5. Dimpfl, T., & Peter, F. J. (2014). The Impact of the Financial Crisis on Transatlantic Information Flows: An Intraday Analysis. Journal of International Financial Markets, Institutions and Money, 31(1), 1-13. [DOI:10.1016/j.intfin.2014.03.004]
6. Gençay, R., & Gradojevic, N. (2017). The Tale of Two Financial Crises: An Entropic Perspective. Entropy, 19(6), 244. [DOI:10.3390/e19060244]
7. Ghaderi, S., & Shahrazi, M. (2020). The Impact of World Commodity Price Index on Tehran Stock Exchange Returns: The Bayesian Approach of Markov Switching Method. Financial Research Journal, 22(1), 90-109. [DOI: https://dx.doi.org/10.22059/frj.2019.286990.1006909]
8. Hallafi, H. R., & Saeedi, S. N. (2012). Investigating the Dynamic Reaction between the Uncertainty of Exchange Rate and Tehran Stock Price Index. Quarterly Journal of Quantitative Economics, 9(1), 37-53. [DOI:https://dx.doi.org/10.22055/jqe.2012.10586]
9. Heidarpoor, F., & Alavi, K. (2015). Effect of Diversification Strategy on Firm Performance with Application of Entropy Measure in Tehran Stock Exchange. Accounting and Auditing Review, 22(3), 385-400. [DOI:https://dx.doi.org/10.22059/acctgrev.2015.55661]
10. Hou, Y., Liu, F., Gao, J., Cheng, C., & Song, C. (2017). Characterizing Complexity Changes in Chinese Stock Markets by Permutation Entropy. Entropy, 19(10), 514. [DOI:10.3390/e19100514]
11. Khiabani, N., & Tavassoli, S. (2020). A Review of Energy Demand Models. The Journal of Planning and Budgeting, 25(3), 65-94. [http://jpbud.ir/article-1-1965-fa.html]
12. Lahmiri, S., & Bekiros, S. (2020). Nonlinear Analysis of Casablanca Stock Exchange, Dow Jones and S&P500 Industrial Sectors with a Comparison. Physica A: Statistical Mechanics and Its Applications, 539(1), 122923. [DOI:10.1016/j.physa.2019.122923]
13. Lahmiri, S., Uddin, G. S., & Bekiros, S. (2017). Nonlinear Dynamics of Equity, Currency and Commodity Markets in the Aftermath of the Global Financial Crisis. Chaos, Solitons & Fractals, 103(1), 342-346. [DOI:10.1016/j.chaos.2017.06.019]
14. Madanizadeh, A., & Ebrahimi, S. (2018). Bank-Firm Relationships: The Case of Iranian Listed Companies. The Journal of Planning and Budgeting, 22(4), 3-34. [http://jpbud.ir/article-1-1598-en.html]
15. Memon, B. A., & Yao, H. (2019). Structural Change and Dynamics of Pakistan Stock Market during Crisis: A Complex Network Perspective. Entropy, 21(3), 248-268. [DOI:10.3390/e21030248]
16. Mirbargkar, S. M., & Sohrabi, M. (2020). Dependency Structure between the Markets of Iran, Turkey, China and the United Arab Emirates, According the Approach of Copula-Markov Switching. Financial Knowledge of Securities Analysis, 13(47), 87-102. [http://jfksa.srbiau.ac.ir/article_16383.html]
17. Oh, G., Kim, H.-y., Ahn, S.-W., & Kwak, W. (2015). Analyzing the Financial Crisis Using the Entropy Density Function. Physica A: Statistical Mechanics and Its Applications, 419(1), 464-469. [DOI:10.1016/j.physa.2014.10.065]
18. Osoolian, M., & Koushki, A. (2020a). Investigating the Crisis Forecasting Ability of the Cumulative Residual Entropy Measure by using Logistic Map Simulation Data and Tehran Stock Exchange Overall Index. Journal of Financial Management Perspective, 10(31), 9-27. [DOI:10.52547/jfmp.10.31.9]
19. Osoolian, M., & Koushki, A. (2020b). A Review of COVID-19 Effects on the World's Economy, Stock Markets, Especially Emerging Markets and Tehran Stock Exchange. Paper Presented at the 17th International Management Conference.
20. Osoolian, M., Hoseyni Esfidavajani, S. A., & Bagheri, M. (2019). Stock Market Index Analysis with Entropy Approach. Journal of Financial Management Perspective, 8(24), 159-180. [http://jfmp.sbu.ac.ir/article_95580.html]
21. Qiu, L., & Yang, H. (2020). Transfer Entropy Calculation for Short Time Sequences with Application to Stock Markets. Physica A: Statistical Mechanics and Its Applications, 559(1), 125121. [DOI:10.1016/j.physa.2020.125121]
22. Rao, M., Chen, Y., Vemuri, B. C., & Wang, F. (2004). Cumulative Residual Entropy: A New Measure of Information. IEEE Transactions on Information Theory, 50(6), 1220-1228. [DOI:10.1109/TIT.2004.828057]
23. Sadeghi Sharif, S., & Janiarloo, S. (2017). The Role of Working Capital Management in Profitability Clearing of Listed Firms in Tehran Stock Exchange by Method of EGLS. Financial Management Perspective, 7(19), 9-26. [http://jfmp.sbu.ac.ir/article_95226.html]
24. Sadeghi, M. (2014). A Comparative Study of the Tehran Stock Exchange and Other Stock Exchanges in the World and the Reasons for the Strengths and Weaknesses. Journal of Accounting, Accountability and Society Interests, 4(1), 175-193. [DOI: https://dx.doi.org/10.22051/ijar.2014.493]
25. Shannon, C. E. (1948). A Mathematical Theory of Communication. The Bell System Technical Journal, 27(3), 379-423. [DOI:10.1002/j.1538-7305.1948.tb01338.x]
26. Soloviev, V. N., Bielinskyi, A., & Solovieva, V. (2019). Entropy Analysis of Crisis Phenomena for DJIA Index. Paper Presented at the ICTERI Workshops.
27. Stosic, D., Stosic, D., Ludermir, T., de Oliveira, W., & Stosic, T. (2016). Foreign Exchange Rate Entropy Evolution during Financial Crises. Physica A: Statistical Mechanics and Its Applications, 449(1), 233-239. [DOI:10.1016/j.physa.2015.12.124]
28. Ubriaco, M. R. (2009). Entropies Based on Fractional Calculus. Physics Letters A, 373(30), 2516-2519. [DOI:10.1016/j.physleta.2009.05.026]
29. Varahrami, V., Sarabadani, A., & Nejad Ghorban, H. (2020). Short Run Psychological Effects of Joint Comprehensive Plan of Action on Market Index Return of Tehran Stock Exchange. Quarterly Journal of the Macro and Strategic Policies, 7(5), 26-49. [DOI: https://dx.doi.org/10.30507/jmsp.2020.77128]
30. Xiong, H., Shang, P., & Zhang, Y. (2019). Fractional Cumulative Residual Entropy. Communications in Nonlinear Science and Numerical Simulation, 78(1), 104879. [DOI:10.1016/j.cnsns.2019.104879]
31. Zhang, X., Ma, C., & Yu, X. (2019). A Neural Network Model for Financial Trend Predicting. Cluster Computing, 22(2), 3487-3494. [DOI:10.1007/s10586-018-2196-x]
32. Zhou, R., Liu, X., Yu, M., & Huang, K. (2017). Properties of Risk Measures of Generalized Entropy in Portfolio Selection. Entropy, 19(12), 657. [DOI:10.3390/e19120657]

Rights and permissions
Creative Commons License This work is licensed under a Creative Commons Attribution 4.0 International License.

© 2022 CC BY-NC 4.0 | Planning and Budgeting

Designed & Developed by : Yektaweb