Diffusion Entropy Analysis: Stability of Indian Stock Market
Sushil Kumar1, Sunil Kumar2, Pawan Kumar3
1Sushil Kumar*, Dept. of Physics and Electronics,Hansraj College, University of Delhi, Delhi, India.
2Sunil kumar,Ramjas College, University of Delhi, Delhi, India.
3Pawan Kumar*, School of Basic & Applied Sciences, K R Mangalam University, Gurugram, Haryana, India.

Manuscript received on November 19, 2019. | Revised Manuscript received on November 29 2019. | Manuscript published on 30 November, 2019. | PP: 9358-9362 | Volume-8 Issue-4, November 2019. | Retrieval Number: D9559118419/2019©BEIESP | DOI: 10.35940/ijrte.D9559.118419

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© The Authors. Blue Eyes Intelligence Engineering and Sciences Publication (BEIESP). This is an open access article under the CC-BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)

Abstract: The large amount of available data of stock markets becomes very beneficial when it is transformed to valuable information. The analysis of this huge data is essential to extract out the useful information. In the present work, we employ the method of diffusion entropy to study time series of different indexes of Indian stock market. We analyze the stability of Nifty50 index of National Stock Exchange (NSE) India and SENSEX index of Bombay Stock Exchange (BSE), India in the vicinity of global financial crisis of 2008. We also apply the technique of diffusion entropy to analyze the stability of Dow Jones Industrial Average (DJIA) index of USA. We compare the results of Indian Stock market with the USA stock market (DJIA index). We conduct an empirical analysis of the stability of Nifty50, Sensex and DJIA indexes. We find significant drop in the value of diffusion entropy of Nifty50, Sensex and DJIA during the period of crisis. Both Indian and USA stock markets show bull market effects in the pre-crisis and post-crisis periods and bear market effect during the period of crisis. Our findings reveal that diffusion entropy technique can replicate the price fluctuations as well as critical events of the stock market.
Keywords: Diffusion Entropy, Stability of Stock Market, Conditional Entropy, Global Financial Crisis.
Scope of the Article: Industrial, Financial and Scientific Applications of All Kind.