EVALUATING THE EFFICIENCY OF BRAZILIAN STOCK MARKET INDICES: THE CASE OF COVID-19

Leonardo H. S. Fernandes (), Fernando H. A. de Araujo, Jos㉠W. L. Silva (), Igor E. M. Silva () and Benjamin Tabak
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Leonardo H. S. Fernandes: Department of Economics and Informatics, Federal Rural University of Pernambuco, Av. Gregório Ferraz Nogueira, S/N – José Tomé de Souza Ramos, 569090-535, PE, Serra Talhada, Brazil
Fernando H. A. de Araujo: Department of Statistics and Informatics, Federal Rural University of Pernambuco, Rua Dom Manuel de Medeiros, S/N Dois Irmãos – CEP
Jos㉠W. L. Silva: Department of Statistics and Informatics, Federal Rural University of Pernambuco, Rua Dom Manuel de Medeiros, S/N Dois Irmãos – CEP
Igor E. M. Silva: Department of Economics, Federal University of Rio Grande do Norte, Natal, Brazil

FRACTALS (fractals), 2022, vol. 30, issue 01, 1-11

Abstract: This paper studies the efficiency of Brazilian activity sectors. For that, we apply the Macroeconophysics Indicator of Economic Efficiency (MIEE) for each sector’s index of the daily closing price in the stock market. The MIEE quantifies efficiency considering permutation entropy and Fisher Information. We divide the indices time series into two periods: before COVID-19 and during COVID-19. The overall results indicate that efficiency has decreased for the majority of stock market indices, suggesting that the recent crisis has had a deleterious effect on stock efficiency.

Keywords: Macroeconophysics; Brazilian Indices; COVID-19; Permutation Entropy; Fisher Information Measure; Complexity Hierarchy; Economic Efficiency (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1142/S0218348X22500141

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