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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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
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author DIMA, Bogdan
DIMA, Ştefana Maria
IOAN, Roxana
author_facet DIMA, Bogdan
DIMA, Ştefana Maria
IOAN, Roxana
author_sort DIMA, Bogdan
collection PubMed
description 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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spelling pubmed-85974142021-11-18 Remarks on the behaviour of financial market efficiency during the COVID-19 pandemic. The case of VIX DIMA, Bogdan DIMA, Ştefana Maria IOAN, Roxana Financ Res Lett Article 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. The Author(s). Published by Elsevier Inc. 2021-11 2021-02-11 /pmc/articles/PMC8597414/ /pubmed/34812252 http://dx.doi.org/10.1016/j.frl.2021.101967 Text en © 2021 The Author(s). Published by Elsevier Inc. 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
DIMA, Bogdan
DIMA, Ştefana Maria
IOAN, Roxana
Remarks on the behaviour of financial market efficiency during the COVID-19 pandemic. The case of VIX
title Remarks on the behaviour of financial market efficiency during the COVID-19 pandemic. The case of VIX
title_full Remarks on the behaviour of financial market efficiency during the COVID-19 pandemic. The case of VIX
title_fullStr Remarks on the behaviour of financial market efficiency during the COVID-19 pandemic. The case of VIX
title_full_unstemmed Remarks on the behaviour of financial market efficiency during the COVID-19 pandemic. The case of VIX
title_short Remarks on the behaviour of financial market efficiency during the COVID-19 pandemic. The case of VIX
title_sort remarks on the behaviour of financial market efficiency during the covid-19 pandemic. the case of vix
topic Article
url 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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