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Effect of COVID-19 on ETF and index efficiency: evidence from an entropy-based analysis
We examine the informational efficiency of domestic equity ETFs vis-a-vis their underlying market indices during the COVID-19 pandemic. To do so, we employ a multiscale entropy-based methodology. Our findings indicate that the informational efficiency of all ETFs as well as the indices fall sharply...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8739006/ http://dx.doi.org/10.1007/s12197-021-09566-4 |