Insights from the (in)efficiency of Chinese sectoral indices during COVID-19

Leonardo H.S. Fernandes, Fernando H.A. de Araujo and Benjamin Tabak

Physica A: Statistical Mechanics and its Applications, 2021, vol. 578, issue C

Abstract: This article evaluates the effects of the crisis caused by the new Coronavirus (COVID-19) on the Chinese sectoral indices. Using the complexity–entropy plane methodology, we find that the COVID-19 crisis caused increased inefficiency in most of China’s equity sectors. We also find heterogeneous effects depending on the economic sector. Our results are useful for a better understanding the effect of global shocks on the stock markets and how their effects are distributed across economic sectors.

Keywords: Chinese sectoral indices; COVID-19; Bandt & Pompe method; Complexity–entropy causality plane; Complexity hierarchy; Inefficiency (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:578:y:2021:i:c:s0378437121003368

DOI: 10.1016/j.physa.2021.126063

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