Investigation of information interaction in Iranian capital market companies using transfer entropy matrix

Subject Areas : Journal of Investment Knowledge

arefeh  mohaghegh ¹ (Department of Accounting, Kish International Branch, Islamic Azad University, Kish Island, Iran)
mohsen  hamidian ² (Associate Professor, Faculty Member, Accounting Department, Islamic Azad University, South Tehran Branch.)
Sayed Ali  hoseyni esfyadvajany ³ (Assistant Professor, Faculty Member of Shahid Beheshti University)
gholam reza  jafari ⁴ (Professor, Faculty Member of Shahid Beheshti Universityy)

Received: 2020-09-22 Accepted : 2020-10-31 Published : 2020-12-21

Keywords: market modeling, financial markets, entropy transfer matrix,

Abstract :

The focus of this study is on the Iranian stock market financial market. In fact, the aim of this study is to investigate market modeling using entropy transfer matrix. Investing in the capital market and buying stocks of companies that have a lot of entropy is associated with a lot of risk, and due to the high risk and the possibility of bankruptcy, the principal and profit of capital may be lost. We received data on trading volume, disclosure quality, monthly index, corporate governance, and 12-month profit quality for 27 companies from the Iranian stock market and OPEC's monthly oil price, monthly inflation rate, ozone rate, and the price of an ounce of gold between 2009 and 2017. The special importance of the capital market in the development of the economy is through the efficient management of capital and the optimal allocation of undeniable resources. Investing in the capital market requires a decision that requires information about the future state of the stock market price. After a series of drastic changes that have taken place in a row, the trend of data changes is moving towards negative. In other words, in a continuous cycle, the higher the degree of change, the closer the probability of approaching a state of stillness

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