Remarks on the behaviour of financial market efficiency during the COVID-19 pandemic. The case of VIX

被引：18
|
作者：
Dima, Bogdan [1 ]
Dima, Stefana Maria [1 ]
Ioan, Roxana [1 ]
机构：
[1] West Univ Timisoara, East European Ctr Res Econ & Business ECREB, 16 JH Pestalozzi St, Timisoara 300115, Romania
来源：
FINANCE RESEARCH LETTERS | 2021年 / 43卷
关键词：
COVID-19; efficiency; deterministic chaos; largest Lyapunov exponent; sample entropy; permutation entropy; TIME-SERIES; APPROXIMATE ENTROPY; LYAPUNOV EXPONENTS; HYPOTHESIS; MODELS; SYSTEM; CHAOS;
D O I：
10.1016/j.frl.2021.101967
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper investigates the Chicago Board Option Exchange Volatility Index's ('VIX') response to the COVID-19 pandemic crisis, in terms of information efficiency. First, we estimate an Efficiency Index over rolling windows, based on closing levels, for a period between 1995-01-03 and 202012-30. Second, we check for the presence of deterministic chaos in efficiency series, by using the largest Lyapunov exponent and sample, as well as permutation entropy. However, we do not find that these estimators provide a clear evidence of a substantial change in VIX's efficiency during 2020, in terms of deterministic chaos and irregular dynamics.
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页数：9
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