THE SYNERGIC INTERPLAY BETWEEN ENTROPY, PREDICTABILITY, AND INFORMATIONAL EFFICIENCY OF THE SHANGHAI SECTORAL INDEX

Leonardo H. S. Fernandes, Fernando H. A. de Araujo (), Jos㉠W. L. Silva (), Marco C. M. Filho () and Benjamin Tabak
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Leonardo H. S. Fernandes: Department of Economics and Informatics, Federal Rural University of Pernambuco, Serra Talhada, PE 56909-535, Brazil
Fernando H. A. de Araujo: ��Federal Institute of Education, Science and Technology of Paraíba, Campus Patos PB. Acesso Rodovia PB 110, S/N Alto Tubiba – 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
Marco C. M. Filho: ��Federal Institute of Education, Science and Technology of Paraíba, Campus Patos PB. Acesso Rodovia PB 110, S/N Alto Tubiba – CEP

FRACTALS (fractals), 2023, vol. 31, issue 09, 1-10

Abstract: We explore the synergic interplay between entropy (disorder), predictability, and informational efficiency of the daily closing price time series of 13 sectoral economics components of the Shanghai index letter considering three non-overlapping periods (before and during COVID-19 and Russia–Ukraine war). Our findings reveal that the telecom services, financials, and consumer discretionary sectors are marked by higher informational efficiency. Otherwise, the industrials, utilities, and transportation sectors exhibit lower informational efficiency. These insights are relevant for financial agents to make informed decisions, manage risk, and seek opportunities in an ever-changing market environment.

Keywords: Shanghai Sectoral Components; Price Dynamics; Efficient Market Hypothesis; COVID-19; Russian–Ukraine War; Informational Efficiency (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1142/S0218348X23501219

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