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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

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