Open Access

Downloads

Download data is not yet available.

Abstract

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.



Author's Affiliation
Article Details

Issue: Vol 2 No 4 (2018)
Page No.: 5-13
Published: Mar 28, 2019
Section: Research article
DOI: https://doi.org/10.32508/stdjelm.v2i4.525

 Copyright Info

Creative Commons License

Copyright: The Authors. This is an open access article distributed under the terms of the Creative Commons Attribution License CC-BY 4.0., which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.

 How to Cite
Thi Tuan Anh, T. (2019). Applying approximate entropy to compare the randomness of data series in Aseans’stock markets. Science & Technology Development Journal - Economics - Law and Management, 2(4), 5-13. https://doi.org/https://doi.org/10.32508/stdjelm.v2i4.525

 Cited by



Article level Metrics by Paperbuzz/Impactstory
Article level Metrics by Altmetrics

 Article Statistics
HTML = 28 times
Download PDF   = 22 times
Total   = 22 times