Remarks on the behaviour of financial market efficiency during the COVID-19 pandemic. The case of VIX
| Autor: | Bogdan Dima, Ştefana Maria Dima, Roxana Ioan |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
deterministic chaos
050208 finance Index (economics) Series (mathematics) Coronavirus disease 2019 (COVID-19) 05 social sciences Estimator COVID-19 Sample (statistics) Lyapunov exponent sample entropy Article Sample entropy symbols.namesake efficiency 0502 economics and business Econometrics symbols permutation entropy largest Lyapunov exponent 050207 economics Financial market efficiency Finance Mathematics |
| Zdroj: | Finance Research Letters |
| ISSN: | 1544-6131 1544-6123 |
| Popis: | 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 2020-12-30. 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Full Text from ScienceDirect