IDEAS home Printed from https://ideas.repec.org/a/auv/jipbud/v26y2021i2p133-152.html
   My bibliography  Save this article

Prediction of Crisis in Tehran Stock Exchange with Entropy and Analyzing the Identified Crises such as Covid-19 (in Persian)

Author

Listed:
  • Osoolian, Mohammad

    (Faculty of Management and Accounting, Shahid Beheshti University, Tehran, Iran)

  • Koushki, Ali

    (Faculty of Management and Accounting, Shahid Beheshti University, Tehran, Iran.)

Abstract

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.

Suggested Citation

  • Osoolian, Mohammad & Koushki, Ali, 2021. "Prediction of Crisis in Tehran Stock Exchange with Entropy and Analyzing the Identified Crises such as Covid-19 (in Persian)," The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی Ùˆ بودجه), Institute for Management and Planning studies, vol. 26(2), pages 133-152, September.
    • Handle: RePEc:auv:jipbud:v:26:y:2021:i:2:p:133-152
    as

    Download full text from publisher

    File URL: http://jpbud.ir/article-1-1948-en.pdf
    Download Restriction: no
    File URL: http://jpbud.ir/article-1-1948-en.html
    Download Restriction: no
    File URL: http://jpbud.ir/article-1-1948-fa.html
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Forecasting; Crisis; Cumulative Residual Entropy; Fractional Entropy; Covid-19.;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • G01 - Financial Economics - - General - - - Financial Crises
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:auv:jipbud:v:26:y:2021:i:2:p:133-152. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Nahid Jebeli (email available below). General contact details of provider: https://edirc.repec.org/data/irpdair.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.