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
Descripción
Sumario: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.

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