Effect of COVID-19 on ETF and index efficiency: evidence from an entropy-based analysis
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DOI: 10.1007/s12197-021-09566-4
Abstract: We examine the informational efficiency of domestic equity ETFs vis-a-vis their underlying market indices during the COVID-19 pandemic. To do so, we employ a multiscale entropy-based methodology. Our findings indicate that the informational efficiency of… read more here.
Keywords: market; effect covid; entropy based; efficiency ... See more keywords