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Ranking Stock Markets Informational (In)Efficiency During the COVID-19 Pandemic

In: Advances in Empirical Economic Research

Author

Listed:
  • Joanna Olbrys

    (Bialystok University of Technology)

  • Elzbieta Majewska

    (University of Bialystok)

Abstract

The aim of this research is to assess and compare informational efficiency/inefficiency of the 36 European stock markets and the US market within the COVID-19 pandemic from January 2020 to December 2021. As the sample period is not long, the symbolic time series analysis (STSA) and the Shannon information entropy-based methodology are utilized. Two different STSA encoding methods are used, and therefore two various rankings of market informational (in)efficiency are obtained. The empirical findings are homogenous. The Spearman rank correlation coefficient indicates that these rankings differ insignificantly from each other. The evidence is that all analysed stock markets exhibit a certain level of inefficiency because their entropy values are less than one. Moreover, the entropy results during the COVID-19 pandemic outbreak do not support the hypothesis that the developed markets are more efficient than the emerging markets.

Suggested Citation

  • Joanna Olbrys & Elzbieta Majewska, 2023. "Ranking Stock Markets Informational (In)Efficiency During the COVID-19 Pandemic," Springer Proceedings in Business and Economics, in: Nicholas Tsounis & Aspasia Vlachvei (ed.), Advances in Empirical Economic Research, chapter 0, pages 473-484, Springer.
    • Handle: RePEc:spr:prbchp:978-3-031-22749-3_29
    DOI: 10.1007/978-3-031-22749-3_29
    as

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