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Investigation of stock return volatility using Shannon entropy - evidence from ASEAN stock markets

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  • Xuan Vinh Vo
  • Thi Tuan Anh Tran

Abstract

This study assesses stock market volatility in ASEAN countries. We use Shannon entropy as an alternative measure to traditional measure of stock return volatility. We utilise daily stock price data of national stock market indices of ASEAN countries (Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam) for the period from August 2001 to December 2016. The results show that the stock returns of Vietnam (VNINDEX) is the most volatile stock index, followed by that of Indonesia, Singapore, Malaysia, Thailand and the Philippines. The study also suggests that entropy is an important alternative to the traditional measure of stock return volatility. The study offers important implication for risk management and portfolio theory.

Suggested Citation

  • Xuan Vinh Vo & Thi Tuan Anh Tran, 2022. "Investigation of stock return volatility using Shannon entropy - evidence from ASEAN stock markets," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 12(4), pages 479-490.
    • Handle: RePEc:ids:afasfa:v:12:y:2022:i:4:p:479-490
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