Open AccessApplying approximate entropy to compare the randomness of data series in Aseans’stock markets
Author(s) -
Tran Thi Tuan Anh
Publication year - 2019
Publication title -
khoa học và công nghệ: kinh tế - luật - quản lý
Language(s) - English
Resource type - Journals
ISSN - 2588-1051
DOI - 10.32508/stdjelm.v2i4.525
Subject(s) - randomness , stock (firearms) , stock market index , stock market , econometrics , time series , entropy (arrow of time) , arbitrage , economics , mathematics , financial economics , statistics , geography , physics , quantum mechanics , context (archaeology) , archaeology
The paper calculates the approximate entropy using the algorithm proposed by Pincus (2008) on the daily closing price of ASEAN countries’ stock indices collected from the Datastream from January 2000 to December 2016. The approximate entropy is employed to measure the randomness of financial time series in ASEAN countries’ stock markets. The results on the whole data show that the fluctuation rate of return is much higher than the stock index and Singapore has the most stochastic time series, including stock index and its return. Indonesia’s stock index exhibits the lowest randomness as suggested by approximate entropy. After crisis, the randomness of time series in the Vietnam’s market is sharply enhanced and the Philippines has become a potential country for investors to seek arbitrage opportunities.