Applying approximate entropy (ApEn) to speculative bubble in the stock market

Saumitra Bhaduri

MPRA Paper from University Library of Munich, Germany

Abstract: In contrast to the traditional duration dependence test, the paper introduces an order statistic known as Approximate Entropy to investigate the presence of speculative bubbles for a cross country sample. Using Approximate Entropy, the article examines four major crash in the US, Japan, Hong Kong and India. In addition, the paper also investigate the 1997 Asian crisis using weekly data for seven major Asian indices which includes Hong Kong, Malaysia, Singapore, Korea, Taiwan, Indonesia and Japan. The results confirm that there are strong “tale-tell” signs characterized by low Approximate Entropy (ApEn) level during many of these crash events. All the evidences using yearly as well as time series data (both discrete and rolling window analysis) point to a substantially lower level of ApEn during the crash.

Keywords: Approximate Entropy; Bubble; India; stock Market (search for similar items in EconPapers)
JEL-codes: G0 G01 (search for similar items in EconPapers)
Date: 2012-04-10
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/38015/1/MPRA_paper_38015.pdf original version (application/pdf)

Related works:
Journal Article: Applying Approximate Entropy (ApEn) to Speculative Bubble in the Stock Market (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:38015

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().