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关于新冠疫情期间金融市场效率表现的评论。以波动率指数（VIX）为例。

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

作者信息

Dima Bogdan, Dima Ştefana Maria, Ioan Roxana

机构信息

East European Center for Research in Economics and Business (ECREB), West University of Timişoara, 16 J.H. Pestalozzi Street, 300115, Timisoara, Romania.

出版信息

Financ Res Lett. 2021 Nov;43:101967. doi: 10.1016/j.frl.2021.101967. Epub 2021 Feb 11.

DOI:10.1016/j.frl.2021.101967
PMID:34812252
原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC8597414/
Abstract

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

摘要

本文从信息效率的角度研究了芝加哥期权交易所波动率指数（VIX）对新冠疫情危机的反应。首先，我们基于1995年1月3日至2020年12月30日期间的收盘价，对滚动窗口估计一个效率指数。其次，我们通过使用最大Lyapunov指数和样本以及排列熵，来检验效率序列中是否存在确定性混沌。然而，就确定性混沌和不规则动态而言，我们并未发现这些估计量能提供明确证据表明2020年VIX的效率发生了实质性变化。

https://cdn.ncbi.nlm.nih.gov/pmc/blobs/ffbe/8597414/9737875aee0e/gr3_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/ffbe/8597414/97928e7f020d/gr1_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/ffbe/8597414/9a016c4f401e/gr2_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/ffbe/8597414/9737875aee0e/gr3_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/ffbe/8597414/97928e7f020d/gr1_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/ffbe/8597414/9a016c4f401e/gr2_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/ffbe/8597414/9737875aee0e/gr3_lrg.jpg

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