تحلیل شاخص کل با رهیافت آنتروپی

نوع مقاله : علمی - پژوهشی

نویسندگان

1 استادیار دانشکده مدیریت و حسابداری دانشگاه شهید بهشتی

2 استادیار دانشکده فیزیک ، دانشگاه شهید بهشتی

3 دانشجوی کارشناسی ارشد دانشگاه شهید بهشتی

چکیده

تحلیل و پیش­بینی حرکت شاخص قیمت بورس از جمله مسائلی است که همواره تحلیلگران و سرمایه­گذاران با آن مواجه هستند و با استفاده از ابزارهای مختلفی به این مهم می­پردازند. با توجه به مشابهت بازارهای مالی با پدیده­های فیزیکی می­توان با در­نظرگرفتن بازار به‌عنوان یک سیستم پیچیده، روابط موجود در آن را از این منظر مطالعه کرد. یکی از مفاهیم این حوزه، آنتروپی است که عدم­قطعیت و پیچیدگی سیستم پویا را اندازه‌گیری می­کند. در این پژوهش رفتار شاخص کل سهام «بورس اوراق بهادار تهران» با استفاده از تکنیک آنتروپی چندمقیاسی شانون تحلیل شده است؛ بدین منظور ابتدا با استفاده از قیمت پایانی سهام شرکت­های بورسی در بازه زمانی سال­های 1392 تا 1396، آنتروپی در بازه­های زمانی ماهانه، فصلی، شش­ماهه و سالانه و در دو مقیاس 50- و 50 محاسبه شد و سپس وجود رابطه علیت گرنجری بین این سری­ها و شاخص کل با استفاده از آزمون تودا-یاماموتو موردبررسی قرار گرفت. نتایج پژوهش نشان می­دهد که آنتروپی­های ، ، ،  و  علت خطی شاخص بورس هستند؛ به­عبارت­دیگر اطلاعات اصلی در بازه‌های زمانی ماهانه، فصلی، شش­ماهه و سالانه، همچنین نوسانات کوچک در بازه فصلی، علت خطی شاخص کل هستند.

کلیدواژه‌ها

عنوان مقاله [English]

Stock market index analysis with entropy approach

نویسندگان [English]

  • Mohammad Osoolian 1
  • Seyyed Ali Hoseyni Esfidavajani 2
  • Mobina Bagheri 3
1 assistant professor
2 assistant professor
3 Master student of Shahid Beheshti University
چکیده [English]

Analyzing and predicting the movement of the stock price index is one of the issues that analysts and investors face it and use various tools to do it. Considering the similarity of financial markets with physical phenomena, it is possible to study the relations existing in market as a complex system. One of the concepts in this area is entropy that measures the uncertainty and complexity of the dynamic system. In this research, the behavior of the Tehran Exchange Divedend and Price Index (TEDPIX) has been analyzed using Shannon's multiscale entropy technique. For this purpose, at the beginning, using the close price of stocks of Tehran Exchange's companies during the period from 2013 to 2017, entropy is calculated in monthly, seasonal, six-month, and annual periods, and in two scale, 50-50. Then, the existence of a grained causality relationship between these series and the TEDPIX was investigated using the Toda-Yamamoto test. The results of this study indicate that some Entropies are the linear cause of the stock index. In other words, the main information in the annual, six-month and seasonal periods, and small fluctuations in the seasonal period, is the linear cause of the TEDPIX.

کلیدواژه‌ها [English]

  • TEDPIX
  • Shannon multi-scale entropy
  • Toda and Yamamoto causality test

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