کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7375689 1480074 2018 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Credit market Jitters in the course of the financial crisis: A permutation entropy approach in measuring informational efficiency in financial assets
ترجمه فارسی عنوان
بازار اعتبار در جریان بحران مالی: رویکرد آنتروپی جایگزین در سنجش کارایی اطلاعات در دارایی های مالی
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی
We explore the evolution of the informational efficiency for specific instruments of the U.S. money, bond and stock exchange markets, prior and after the outbreak of the Great Recession. We utilize the permutation entropy and the complexity-entropy causality plane to rank the time series and measure the degree of informational efficiency. We find that after the credit crunch and the collapse of Lehman Brothers the efficiency level of specific money market instruments' yield falls considerably. This is an evidence of less uncertainty included in predicting the related yields throughout the financial disarray. Similar trend is depicted in the indices of the stock exchange markets but efficiency remains in much higher levels. On the other hand, bond market instruments maintained their efficiency levels even after the outbreak of the crisis, which could be interpreted into greater randomness and less predictability of their yields.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 499, 1 June 2018, Pages 266-275
نویسندگان
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