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Remarks on the behaviour of financial market efficiency during the COVID-19 pandemic. The case of VIX by Bogdan DIMA; Ştefana Maria DIMA; Roxana IOAN is a Economics, Econometrics and Finance article available to read on EtoBox.

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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. Second, we check for the presence of deterministic chaos in efficiency series, by using the largest Lyapunov exponent and sample, as well as permutation entropy. However, we do not find that these estimators provide a clear evidence of a substantial change in VIX's efficiency during 2020, in terms of deterministic chaos and irregular dynamics.

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Author

Bogdan DIMA; Ştefana Maria DIMA; Roxana IOAN

Publisher

Elsevier BV

Published

2021

Language

EN

Field

Economics, Econometrics and Finance (Social Sciences)