Remarks on the behaviour of financial market efficiency during the COVID-19 pandemic. The case of VIX

Bogdan Dima, Ştefana Maria Dima and Roxana Ioan

Finance Research Letters, 2021, vol. 43, issue C

Abstract: 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.

Keywords: COVID-19; efficiency; deterministic chaos; largest Lyapunov exponent; sample entropy; permutation entropy (search for similar items in EconPapers)
JEL-codes: C45 C49 G14 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000489

DOI: 10.1016/j.frl.2021.101967

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