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

Dima, Bogdan; Dima, Ştefana Maria; Ioan, Roxana

doi:10.1016/j.frl.2021.101967

Cited by 31 publications

(18 citation statements)

References 38 publications

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“…Thirdly, we show that the financial markets did not behave efficiently in the first half of our sample period, but these inefficiencies decreased in the second half of our sample period. This is in line with Dima et al (2021) who show that the VIX index in 2020 was no more or less efficient than during other time periods.…”

Section: Introductionsupporting

confidence: 91%

Stock market reactions to COVID-19 lockdown: A global analysis

Scherf

Matschke

Rieger

2022

Finance Research Letters

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The COVID-19 pandemic has caused dramatic changes in the way people around the globe live, and has had a profound negative impact on the global economy. Much of this negative impact did not result from the disease itself, but from the lockdown restrictions imposed to contain the spread of the virus. We investigate how national stock market indices reacted to the news of national lockdown restrictions in the period from January to May 2020. We find that lockdown restrictions led to different reactions in our sample of OECD and BRICS countries: there was a general negative effect resulting from the increase in lockdown restrictions, but we find strong evidence for underreaction during the lockdown announcement, followed by some overreaction that is corrected subsequently. This under-/overreaction pattern, however, is observed mostly during the first half of our time series, pointing to learning effects. Relaxation of the lockdown restrictions, on the other hand, had a positive effect on markets only during the second half of our sample, while for the first half of the sample, the effect is negative.

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Section: Introductionsupporting

confidence: 91%

Stock market reactions to COVID-19 lockdown: A global analysis

Scherf

Matschke

Rieger

2022

Finance Research Letters

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“…Precisely, the permutation entropy quantifies the probability distribution of ordinal patterns considering the temporal causality within the dataset. In this way, we connect the permutation entropy with the symbolic sequences of the underlying time series [31] , [32] , [33] .…”

Section: Methodsmentioning

confidence: 99%

The resilience of cryptocurrency market efficiency to COVID-19 shock

Fernandes

Bouri

Silva

et al. 2022

Physica A: Statistical Mechanics and its Applications

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Section: Permutation Entropymentioning

confidence: 99%

Booms in commodities price: assessing disorder and similarity overeconomic cycles

Fernandes¹,

Araujo²,

Silva³

et al. 2022

Preprint

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This paper provides an overview of the commodities market, considering three relevant attributes: predictability, similarity, and efficiency. We examine the monthly spot and futures prices time series for 22 commodities from January 1984 until January 2022 with 457 observations. We estimate the permutation entropy (𝐸 𝑠 ) and Fisher information measure 𝐹 𝑠 using the Bandt & Pompe method (BPM). We employ the value of these two complexity measures to construct the Shannon-Fisher Causality Plane (SFCP), which allows us to evaluate the disorder and assess the randomness present in the monthly spot and futures prices time series for these commodities. Moreover, we apply 𝐸 𝑠 and 𝐹 𝑠 to classify the commodities using complexity hierarchy. We find that the commodities that are located farther from the random ideal position (𝐸 𝑠 = 1, 𝐹 𝑠 = 0) in the SFCP, such as Natural gas, Europe; Iron ore, cfr spot, and Potassium chloride are marked by lower entropy, higher predictability and lower efficiency. In contrast, the commodities that are located near the random ideal position (𝐸 𝑠 = 1, 𝐹 𝑠 = 0) in the SFCP, such as Crude oil -Brent; Crude oil -average, and Silver are characterized by higher entropy, lower predictability and higher efficiency. The K-means algorithm and the hierarchical cluster grouped commodities into only three distinct groups, which is a strong indication that commodity prices have very similar behaviour.

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

Cited by 31 publications

References 38 publications

Stock market reactions to COVID-19 lockdown: A global analysis

Stock market reactions to COVID-19 lockdown: A global analysis

The resilience of cryptocurrency market efficiency to COVID-19 shock

Booms in commodities price: assessing disorder and similarity overeconomic cycles

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