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

http://dx.doi.org/10.31703/ger.2023(VIII-III).02      10.31703/ger.2023(VIII-III).02      Published : Sep 2023
Authored by : UzairEsaa , MuhammadIsmail , MuteeullahChanna

02 Pages : 15-26

References

  • Arai, T. (2016). Volatility measurement for the Japanese stock market: comparison of entropy-based measures with traditional measures. Applied Economics Letters, 23(4), 251-255.
  • Arai, T. (2019). Entropy-based volatility measures for the US stock market. International Review of Financial Analysis, 64, 226-238.
  • Bentes, S. R., & Menezes, R. (2012). A new measure of stock market volatility? Journal of Physics: Conference Series, 394(1), 012033.
  • Chen, H.-L., & Huang, C.-H. (2014). Volatility in the Taiwan stock market: a Shannon entropy-based analysis. Applied Economics Letters, 21(6), 421-425.
  • Chen, S.-H., & Chi, H.-Y. (2011). A Shannon entropy approach to measuring volatility in thestock market. Journal of Empirical Finance, 18(2), 291-302.
  • Chen, S.-H., & Chi, H.-Y. (2021). Volatility measurement in the Chinese stock market: a comparison of Shannon entropy and traditional measures. Journal of Risk Finance, 22(2), 132- 146.
  • Chen, X., & Huang, H. (2022). Empirical Research on the Application of Shannon Entropy in Measuring Stock Market Volatility. Journal of Risk and Financial Management, 15(5), 243.
  • Fomin, A., & Timofeev, D. (2019). Stock market volatility in Russia: a Shannon entropy- based analysis. Journal of Risk Finance, 20(4), 374-391.
  • Gui, Z., Zhu, F., & Guo, Q. (2016). Volatility measurement of the Chinese stock market using Shannon entropy. Journal of Computational and Applied Mathematics, 292, 523-531.
  • Kim, Y., & Park, J. (2016). Entropy-based measures of volatility in the Korean stock market. Applied Economics Letters, 23(8), 548-551.
  • Kim, Y., & Park, J. (2018). Entropy-based measures of volatility in the Korean stock market. Asia-Pacific Journal of Financial Studies, 47(5), 635-656.
  • Li, J., Li, J., & Wang, B. (2020). Measuring volatility of high-frequency financial data using Shannon entropy. Journal of Forecasting, 39(6), 984-996.
  • Luo, X., & Huang, L. (2022). The Application of Entropy Measures in Stock Market Volatility: Evidence from China. Journal of Risk and Financial Management, 15(4), 182.
  • Lux, T., & Ausloos, M. (2023). Entropy as a measure of market risk and liquidity. Physica A: Statistical Mechanics and its Applications, 590, 126392.
  • Mamba, B., & Kwenda, F. (2020). Stock market volatility in the BRICS countries: a Shannon entropy-based analysis. Journal of Risk Finance, 21(1), 20-38.
  • Matsushita, K., & Ogane, Y. (2019). A Shannon entropy-based measure of volatility in foreign exchange markets. Journal of International Financial Markets, Institutions and Money, 60, 195- 212.
  • Sheraz, M., Dedu, S., & Preda, V. (2014). Entropy measures for assessing volatile markets. In Proceedings of the 2nd International Conference ‘Economic Scientific Research - Theoretical, Empirical and Practical Approaches’, ESPERA 2014, November 13-14, 2014, Bucharest, Romania.
  • Wu, X., & Jirasakuldech, B. (2017). Shannon entropy and stock market volatility in the UK. Journal of Risk Finance, 18(5), 470- 481.
  • Wu, Z., & Huang, X. (2017). Volatility measurement using Shannon entropy: evidence from the Hong Kong stock market. Finance Research Letters, 20, 86- 94.
  • Wu, Z., & Huang, X. (2018). Shannon entropy and risk management: evidence from Hong Kong stock market. Finance Research Letters, 24, 81-88.

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