Entropy-based financial asset pricing: Evidence from Pakistan

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dc.authorid0000-0001-6657-9738
dc.contributor.authorWang, Sheng
dc.contributor.authorKhan, Sher Ali
dc.contributor.authorMunir, Mubbasher
dc.contributor.authorAlhajj, Reda
dc.contributor.authorKhan, Yousaf Ali
dc.date.accessioned2023-01-09T10:40:00Z
dc.date.available2023-01-09T10:40:00Z
dc.date.issued2022
dc.departmentİstanbul Medipol Üniversitesi, Mühendislik ve Doğa Bilimleri Fakültesi, Bilgisayar Mühendisliği Bölümü
dc.description.abstractEntropy is an alternative measure to calculate the risk, simplify the portfolios and equity risk premium. It has higher explanatory power than capital asset price model (CAPM) beta. The comparison of Entropy and CAPM beta provide in depth analysis about the explanatory power of the model that in turn help investor to make right investment decisions that minimizes risk. In this context, this study aims to compare Shannon and Rennyi Entropies with the CAPM beta for measuring the risk. Ordinary Least square approach has been utilized using a dataset of 67 enterprises registered in Pakistan Stock exchange. The comparative analysis of CAPM beta and entropy has been carried out with the R2 parameters. The result indicates that entropy has more explanatory power as compare to CAPM beta’s explanatory power, and this turns out to be the best option to evaluate the risk performances. The result implies that an investor should make the best investment decision by choosing an enterprise that provide with good returns at minimum risk based on entropy technique.
dc.description.sponsorshipNationalSocialScienceFundofChina ; National Office for Philosophy and Social Sciencesen_US
dc.identifier.citationWang, S., Khan, S. A., Munir, M., Alhajj, R. ve Khan, Y. A. (2022). Entropy-based financial asset pricing: Evidence from Pakistan. PLoS One, 17(12). https://dx.doi.org/10.1371/journal.pone.0278236
dc.identifier.doi10.1371/journal.pone.0278236
dc.identifier.issn1932-6203
dc.identifier.issue12
dc.identifier.pmid36548250
dc.identifier.scopus2-s2.0-85144486076
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://dx.doi.org/10.1371/journal.pone.0278236
dc.identifier.urihttps://hdl.handle.net/20.500.12511/10267
dc.identifier.volume17
dc.identifier.wos000925193100027en_US
dc.identifier.wosqualityQ2
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.indekslendigikaynakPubMed
dc.institutionauthorAlhajj, Reda
dc.language.isoen
dc.publisherPublic Library of Science
dc.relation.ispartofPLoS Oneen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsAttribution 4.0 International*
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/*
dc.subjectPakistan
dc.subjectFinancial Asset Pricing
dc.subjectEntropy-Based
dc.titleEntropy-based financial asset pricing: Evidence from Pakistan
dc.typeArticle

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