新冠疫情与金融市场效率：基于熵分析的证据

Wang Jingjing, Wang Xiaoyang

Jingjing Wang and Xiaoyang Wang are both assistant professor in the Department of Economics at the University of New Mexico, Albuquerque, United States.

Financ Res Lett. 2021 Oct;42:101888. doi: 10.1016/j.frl.2020.101888. Epub 2021 Jan 6.

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.

本研究评估了标准普尔500指数、黄金、比特币和美元指数在新冠疫情这一极端事件期间的市场效率。采用基于多尺度熵的方法，针对每小时以及1至30个工作日的时间尺度来估计市场效率。在所有尺度上，2020年2月至3月期间四个市场的效率均急剧且持续下降。标准普尔500指数的市场效率降幅最大，比特币市场的降幅最小。在极端事件期间，比特币市场效率比其他市场更具弹性，这是其作为避险资产的一个吸引人的特征。