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

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...

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Detalles Bibliográficos
Autores principales: DIMA, Bogdan, DIMA, Ştefana Maria, IOAN, Roxana
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Author(s). Published by Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8597414/
https://www.ncbi.nlm.nih.gov/pubmed/34812252
http://dx.doi.org/10.1016/j.frl.2021.101967

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8597414/
https://www.ncbi.nlm.nih.gov/pubmed/34812252
http://dx.doi.org/10.1016/j.frl.2021.101967

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