Crash occurrence probability and stock market efficiency the indie stock exchange case via Shannon entropy
In this study, we evaluate the relationship between efficiency and probability of the crash, thus the evolution of the daily informational efficiency is measured for the indie stock market index. The efficiency, which is the issue addressed by the weak-form efficient market hypothesis, is calculated using a new method the Shannon entropy and the symbolic time series analysis. A logit model is applied in order to study the relationship between efficiency and probability of the financial crash.
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