COVID-19 and financial market efficiency: Evidence from an entropy-based analysis

By Jingjing Wang, Xiaoyang Wang. Finance Research Letters, 2021

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This study assesses the market efficiency of S&P 500 Index, gold, Bitcoin and US Dollar Index during the extreme event of COVID-19 pandemic. Market efficiency is estimated by a multiscale entropy-based method for the scales of hourly and 1 to 30 business days. At all scales, four markets’ efficiency decreases sharply and persistently during February-March 2020. Market efficiency decreases the most in S&P 500 Index and the least in Bitcoin market. Bitcoin market efficiency is more resilient than others during the extreme event, which is an attractive feature to serve as a safe haven asset.

Subfields: Economics and Econometrics, Modeling and Simulation

View Paper: https://www.semanticscholar.org/paper/c3ea681c2d760f8dfa46b2602e9081cdbb53f5e0