Ranking Stock Markets Informational (In)Efficiency During the COVID-19 Pandemic

Joanna Olbrys and Elzbieta Majewska ()
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Elzbieta Majewska: University of Bialystok

Chapter Chapter 29 in Advances in Empirical Economic Research, 2023, pp 473-484 from Springer

Abstract: Abstract The aim of this research is to assess and compare informational efficiency/inefficiency of the 36 European stock markets and the US market within the COVID-19 pandemic from January 2020 to December 2021. As the sample period is not long, the symbolic time series analysis (STSA) and the Shannon information entropy-based methodology are utilized. Two different STSA encoding methods are used, and therefore two various rankings of market informational (in)efficiency are obtained. The empirical findings are homogenous. The Spearman rank correlation coefficient indicates that these rankings differ insignificantly from each other. The evidence is that all analysed stock markets exhibit a certain level of inefficiency because their entropy values are less than one. Moreover, the entropy results during the COVID-19 pandemic outbreak do not support the hypothesis that the developed markets are more efficient than the emerging markets.

Keywords: Stock market; Informational efficiency; Shannon entropy; Symbolic time series analysis; COVID-19 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-031-22749-3_29

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DOI: 10.1007/978-3-031-22749-3_29

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