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Paper eres2010_017:
CRASH PROBABILITY OCCURRENCE AND STOCK MARKET EFFICIENCY THE TUNISIAN STOCK EXCHANGE CASE VIA SHANNON ENTROPY

id eres2010_017
authors Boubaker, Adel; Lamia, Sahli
year 2010
title CRASH PROBABILITY OCCURRENCE AND STOCK MARKET EFFICIENCY THE TUNISIAN STOCK EXCHANGE CASE VIA SHANNON ENTROPY
source 17th Annual European Real Estate Society Conference in Milan, Italy
summary The purpose of this paper is to test the hypothesis of the financial market efficiency. Thus, the evolution of the daily informational efficiency is measured for Tunisian stock market index (TUNINDEX) by using the Shannon entropy, over the period [2007 2009]. After that, a logit model is applied in order to study the relationship between efficiency and probability of the financial crash. The main results seem to confirm the negative relationship between the probability of crash and the efficiency.
keywords Chania
series ERES:conference
email adel.boubaker@fsegt.rnu.tn
more http://www.eres2010.org/index.asp?page=papers_download
discussion No discussions. Post discussion ...
ratings
session Property Cycles & Financial Markets
last changed 2010/08/04 20:47
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