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

• DOI: 10.1016/j.frl.2021.101967
• Publication Date: 2021-02-11T02:24:59Z
• Authors: Bogdan DIMA; Ştefana Maria DIMA; Roxana IOAN
• Keywords: Pandemic; 2019-20 coronavirus outbreak; Market Efficiency

This paper investigates the Chicago Board Option Exchange Volatility Index's ('VIX') response to 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, check presence deterministic chaos efficiency series, by using largest Lyapunov exponent sample, as well permutation entropy. However, do not find that these estimators provide clear evidence substantial change VIX's during 2020, irregular dynamics.