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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.

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Issue: Vol 2 No 4 (2018)
Page No.: 5-13
Published: Mar 28, 2019
Section: Research article

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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 & Management, 2(4), 5-13.

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