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

Mohammad Osoolian () and Ali Koushki ()
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Mohammad Osoolian: Faculty of Management and Accounting, Shahid Beheshti University, Tehran, Iran
Ali Koushki: Faculty of Management and Accounting, Shahid Beheshti University, Tehran, Iran.

The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی و بودجه), 2021, vol. 26, issue 2, 133-152

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.

Keywords: Forecasting; Crisis; Cumulative Residual Entropy; Fractional Entropy; Covid-19. (search for similar items in EconPapers)
JEL-codes: C02 G01 G17 (search for similar items in EconPapers)
Date: 2021
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