Open AccessCrash occurrence probability and stock market efficiency the indie stock exchange case via Shannon entropy
Author(s) -
Adel Boubaker,
Sahli Lamia
Publication year - 2012
Publication title -
international journal of accounting and financial reporting
Language(s) - English
Resource type - Journals
ISSN - 2162-3082
DOI - 10.5296/ijafr.v2i2.2526
Subject(s) - econometrics , crash , stock exchange , efficient market hypothesis , stock market , entropy (arrow of time) , indie film , stock (firearms) , logit , stock market index , statistics , mathematics , economics , financial economics , computer science , engineering , sociology , geography , finance , physics , thermodynamics , mechanical engineering , context (archaeology) , archaeology , programming language , media studies
In this study, we evaluate the relationship between efficiency and probability of the crash, thus the evolution of the daily informational efficiency is measured for the indie stock market index. The efficiency, which is the issue addressed by the weak-form efficient market hypothesis, is calculated using a new method the Shannon entropy and the symbolic time series analysis. A logit model is applied in order to study the relationship between efficiency and probability of the financial crash.