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ENTROPY AS A MEASURE OF VOLATILITY A CASE STUDY OF SPECIAL CONVERTIBLE RUPEE ACCOUNT SCRA AND PAKISTAN STOCK EXCHANGE PSX

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02 Pages : 15-26

http://dx.doi.org/10.31703/ger.2023(VIII-III).02      10.31703/ger.2023(VIII-III).02      Published : Sep 2023

Entropy as A Measure of Volatility : A Case Study of Special Convertible Rupee Account (SCRA) and Pakistan Stock Exchange (PSX)

Abstract

    This study investigates the volatility of the market value of the Pakistan Stock Exchange (PSX) and the equity market value of the Special Convertible Rupee Account (SCRA). The study utilizes entropy, standard deviation, and coefficient of variation as measures of volatility to gain a comprehensive understanding of the data. The results reveal a strong correlation between SCRA and PSX during the period of analysis. Furthermore, the volatility measures indicate that SCRA exhibits higher volatility as compared to PSX. This finding contradicts what standard deviation and coefficient of variation suggest, emphasizing the importance of considering multiple volatility measures. The findings highlight the significance of SCRA as a factor influencing the market value of PSX and the need for careful consideration of volatility measures when formulating investment strategies. In conclusion, this study provides insights into the volatility comparison of SCRA and PSX..

    Entropy, Volatility, SCRA (Special Convertible Rupee Account), PSX (Pakistan Stock Exchange

    (1) Uzair Esaa
    Statistical Officer, Ministry of Defence, Rawalpindi, Pakistan.
    (2) Muhammad Ismail
    PhD Scholar, Department of Statistics, University of Sindh, Jamshoro, Sindh, Pakistan.
    (3) Muteeullah Channa
    MPhil Scholar, Department of Statistics, University of Sindh, Jamshoro, Sindh, Pakistan.
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Cite this article

APA

    APA : Esaa, U., Ismail, M., & Channa, M. (2023). Entropy as A Measure of Volatility : A Case Study of Special Convertible Rupee Account (SCRA) and Pakistan Stock Exchange (PSX). Global Economics Review, VIII(III), 15-26. https://doi.org/10.31703/ger.2023(VIII-III).02

CHICAGO

    CHICAGO : Esaa, Uzair, Muhammad Ismail, and Muteeullah Channa. 2023. "Entropy as A Measure of Volatility : A Case Study of Special Convertible Rupee Account (SCRA) and Pakistan Stock Exchange (PSX)." Global Economics Review, VIII (III): 15-26 doi: 10.31703/ger.2023(VIII-III).02

HARVARD

    HARVARD : ESAA, U., ISMAIL, M. & CHANNA, M. 2023. Entropy as A Measure of Volatility : A Case Study of Special Convertible Rupee Account (SCRA) and Pakistan Stock Exchange (PSX). Global Economics Review, VIII, 15-26.

MHRA

    MHRA : Esaa, Uzair, Muhammad Ismail, and Muteeullah Channa. 2023. "Entropy as A Measure of Volatility : A Case Study of Special Convertible Rupee Account (SCRA) and Pakistan Stock Exchange (PSX)." Global Economics Review, VIII: 15-26

MLA

    MLA : Esaa, Uzair, Muhammad Ismail, and Muteeullah Channa. "Entropy as A Measure of Volatility : A Case Study of Special Convertible Rupee Account (SCRA) and Pakistan Stock Exchange (PSX)." Global Economics Review, VIII.III (2023): 15-26 Print.

OXFORD

    OXFORD : Esaa, Uzair, Ismail, Muhammad, and Channa, Muteeullah (2023), "Entropy as A Measure of Volatility : A Case Study of Special Convertible Rupee Account (SCRA) and Pakistan Stock Exchange (PSX)", Global Economics Review, VIII (III), 15-26

TURABIAN

    TURABIAN : Esaa, Uzair, Muhammad Ismail, and Muteeullah Channa. "Entropy as A Measure of Volatility : A Case Study of Special Convertible Rupee Account (SCRA) and Pakistan Stock Exchange (PSX)." Global Economics Review VIII, no. III (2023): 15-26. https://doi.org/10.31703/ger.2023(VIII-III).02