دورية أكاديمية
The Cross-Sectional Intrinsic Entropy-A Comprehensive Stock Market Volatility Estimator.
| العنوان: | The Cross-Sectional Intrinsic Entropy-A Comprehensive Stock Market Volatility Estimator. |
|---|---|
| المؤلفون: | Vințe C; Department of Economic Informatics and Cybernetics, Bucharest University of Economic Studies, 010552 Bucharest, Romania., Ausloos M; School of Business, Brookfield, University of Leicester, Leicester LE2 1RQ, UK.; Department of Statistics and Econometrics, Bucharest University of Economic Studies, 010374 Bucharest, Romania.; GRAPES (Group of Researchers for Applications of Physics in Economy and Sociology), 483 Rue de la Belle Jardiniere, B-4031 Liege, Belgium. |
| المصدر: | Entropy (Basel, Switzerland) [Entropy (Basel)] 2022 Apr 29; Vol. 24 (5). Date of Electronic Publication: 2022 Apr 29. |
| نوع المنشور: | Journal Article |
| اللغة: | English |
| بيانات الدورية: | Publisher: MDPI Country of Publication: Switzerland NLM ID: 101243874 Publication Model: Electronic Cited Medium: Internet ISSN: 1099-4300 (Electronic) Linking ISSN: 10994300 NLM ISO Abbreviation: Entropy (Basel) Subsets: PubMed not MEDLINE |
| أسماء مطبوعة: | Original Publication: Basel, Switzerland : MDPI, 1999- |
| مستخلص: | To take into account the temporal dimension of uncertainty in stock markets, this paper introduces a cross-sectional estimation of stock market volatility based on the intrinsic entropy model. The proposed cross-sectional intrinsic entropy ( CSIE ) is defined and computed as a daily volatility estimate for the entire market, grounded on the daily traded prices-open, high, low, and close prices (OHLC)-along with the daily traded volume for all symbols listed on The New York Stock Exchange (NYSE) and The National Association of Securities Dealers Automated Quotations (NASDAQ). We perform a comparative analysis between the time series obtained from the CSIE and the historical volatility as provided by the estimators: close-to-close, Parkinson, Garman-Klass, Rogers-Satchell, Yang-Zhang, and intrinsic entropy ( IE ), defined and computed from historical OHLC daily prices of the Standard & Poor's 500 index (S&P500), Dow Jones Industrial Average (DJIA), and the NASDAQ Composite index, respectively, for various time intervals. Our study uses an approximate 6000-day reference point, starting 1 January 2001, until 23 January 2022, for both the NYSE and the NASDAQ. We found that the CSIE market volatility estimator is consistently at least 10 times more sensitive to market changes, compared to the volatility estimate captured through the market indices. Furthermore, beta values confirm a consistently lower volatility risk for market indices overall, between 50% and 90% lower, compared to the volatility risk of the entire market in various time intervals and rolling windows. |
| References: | Phys Rev E Stat Nonlin Soft Matter Phys. 2006 Jan;73(1 Pt 1):011105. (PMID: 16486120) Entropy (Basel). 2021 Apr 19;23(4):. (PMID: 33921771) |
| فهرسة مساهمة: | Keywords: cross-sectional study; intrinsic entropy; stock market; volatility estimator |
| تواريخ الأحداث: | Date Created: 20220528 Latest Revision: 20220716 |
| رمز التحديث: | 20221213 |
| مُعرف محوري في PubMed: | PMC9141796 |
| DOI: | 10.3390/e24050623 |
| PMID: | 35626508 |
| قاعدة البيانات: | MEDLINE |
Full Text Finder | تدمد: | 1099-4300 |
|---|---|
| DOI: | 10.3390/e24050623 |