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

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  • Wang, Jingjing
  • Wang, Xiaoyang

Abstract

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.

Suggested Citation

  • Wang, Jingjing & Wang, Xiaoyang, 2021. "COVID-19 and financial market efficiency: Evidence from an entropy-based analysis," Finance Research Letters, Elsevier, vol. 42(C).
    • Handle: RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320317025
    DOI: 10.1016/j.frl.2020.101888
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    References listed on IDEAS

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    More about this item

    Keywords

    COVID-19; Entropy; Extreme events; Market efficiency;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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