【Author】
Wang, Jingjing; Wang, Xiaoyang
【Source】FINANCE RESEARCH LETTERS
【Abstract】This study assesses the market efficiency of S&P 500 Index, gold, Bitcoin and US Dollar Index during the extreme event of COVID-19 pandemic. Market efficiency is estimated by a multiscale entropy-based method for the scales of hourly and 1 to 30 business days. At all scales, four markets' efficiency decreases sharply and persistently during February-March 2020. Market efficiency decreases the most in S&P 500 Index and the least in Bitcoin market. Bitcoin market efficiency is more resilient than others during the extreme event, which is an attractive feature to serve as a safe haven asset.
【Keywords】COVID-19; Entropy; Extreme events; Market efficiency
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