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
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author Wang, Jingjing
Wang, Xiaoyang
author_facet Wang, Jingjing
Wang, Xiaoyang
author_sort Wang, Jingjing
collection PubMed
description 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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spelling pubmed-84507542021-09-20 COVID-19 and financial market efficiency: Evidence from an entropy-based analysis Wang, Jingjing Wang, Xiaoyang Financ Res Lett Article 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. Elsevier Inc. 2021-10 2021-01-06 /pmc/articles/PMC8450754/ /pubmed/34566528 http://dx.doi.org/10.1016/j.frl.2020.101888 Text en © 2020 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Wang, Jingjing
Wang, Xiaoyang
COVID-19 and financial market efficiency: Evidence from an entropy-based analysis
title COVID-19 and financial market efficiency: Evidence from an entropy-based analysis
title_full COVID-19 and financial market efficiency: Evidence from an entropy-based analysis
title_fullStr COVID-19 and financial market efficiency: Evidence from an entropy-based analysis
title_full_unstemmed COVID-19 and financial market efficiency: Evidence from an entropy-based analysis
title_short COVID-19 and financial market efficiency: Evidence from an entropy-based analysis
title_sort covid-19 and financial market efficiency: evidence from an entropy-based analysis
topic Article
url 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
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