Title of article
Investigating the financial crisis of the Tehran Stock Exchange using the entropy method of transfer and comparing it with the US financial market
Author/Authors
Mohaghegh, Arefeh Department of Accounting - Kish International Branch Islamic Azad University, Kish Island, Iran , Hamidian, Mohsen Department of Accounting - Islamic Azad University - South Tehran Branch, Tehran, Iran , Hosseiny Esfidvajani, Ali Department of Physics - Shahid Beheshti University - GE Even, Tehran, Iran , Jafari, Gholamreza Department of Physics - Shahid Beheshti University - GE Even, Tehran, Iran
Pages
16
From page
1
To page
16
Abstract
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 180 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 180 companies in this market that were active in the period from 2008 to 2018 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.
Keywords
Financial Crisis , Tehran Stock Exchange , Transfer Entropy , Dow Jones
Journal title
Iranian Journal of Finance (IJFIFSA)
Serial Year
2021
Record number
2667301
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