COVID-19 and financial market efficiency: Evidence from an entropy-based analysis

This study assesses the market efficiency of S&P 500 Index, gold, Bitcoin and US Dollar Index during the extreme event of COVID-19 pandemic. Market efficiency is estimated by a multiscale entropy-based method for the scales of hourly and 1 to 30 business days. At all scales, four markets’ effici...

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Detalles Bibliográficos
Autores principales: Wang, Jingjing, Wang, Xiaoyang
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8450754/
https://www.ncbi.nlm.nih.gov/pubmed/34566528
http://dx.doi.org/10.1016/j.frl.2020.101888
Descripción
Sumario:This study assesses the market efficiency of S&P 500 Index, gold, Bitcoin and US Dollar Index during the extreme event of COVID-19 pandemic. Market efficiency is estimated by a multiscale entropy-based method for the scales of hourly and 1 to 30 business days. At all scales, four markets’ efficiency decreases sharply and persistently during February-March 2020. Market efficiency decreases the most in S&P 500 Index and the least in Bitcoin market. Bitcoin market efficiency is more resilient than others during the extreme event, which is an attractive feature to serve as a safe haven asset.

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