Investigating the financial crisis of the Tehran Stock Exchange using the entropy method of transfer and comparing it with the US financial market
محل انتشار: مجله مالی ایران، دوره: 5، شماره: 3
سال انتشار: 1400
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 157
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شناسه ملی سند علمی:
JR_IJFIFSA-5-3_001
تاریخ نمایه سازی: 24 فروردین 1401
چکیده مقاله:
This work aims to analyze the relationship between stocks in the financial market of the Tehran Stock Exchange embedded in their transfer entropy. In this regard, the behavior of the transfer entropy between indices of ۱۸۰ corporations of the Tehran Stock Exchange has been studied. Then the footprint of crises of the market has been searched in the trends of the transfer entropy. The result has been compared with the result of the analysis imposed on the stocks included in the Dow Jones industrial index in the stock exchanges of the United States. In order to investigate the financial crisis of the Tehran Stock Exchange, the stock price data of ۱۸۰ companies in this market that were active in the period from ۲۰۰۸ to ۲۰۱۸ are analyzed. It is observed that the average pairwise transfer entropy of indices in the Dow Jones group declines over the financial crises in the United States. In Iran, despite the United States, the financial crises have not left a footprint in the pairwise transfer entropy over the studied period. Such an observation suggests future studies on the pairwise and possibly collective behaviors of indices in Iran and the United States.
کلیدواژه ها:
نویسندگان
Arefeh Mohaghegh
Department of Accounting, Kish International Branch, Islamic Azad University, Kish Island, Iran.
Mohsen Hamidian
Associate Prof., Department of Accounting, Islamic Azad University, South Tehran Branch, Tehran, Iran.
Seyed Ali Hosseiny Esfidvajani
Assistant Prof., Department of Physics, Shahid Beheshti University, GE Even, Tehran, Iran.
Gholamreza Jafari
Prof., Department of Physics, Shahid Beheshti University, GE Even, Tehran, Iran.
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