Effect of COVID-19 on ETF and index efficiency: evidence from an entropy-based analysis
- Title
- Effect of COVID-19 on ETF and index efficiency: evidence from an entropy-based analysis
- Creator
- Saha K.; Madhavan V.; Chandrashekhar G.R.
- Description
- 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 all ETFs as well as the indices fall sharply during the COVID induced market crash in February-March 2020. Having said so, we find disproportionate deterioration in market efficiency of ETFs and indices pertaining to USA and Canada as compared to those of China, Hong Kong and Taiwan. Interestingly, ETFs and indices pertaining to certain developed markets were found to be less efficient than their emerging market counterparts even during the pre-covid timeline. Lastly, there is a discernible difference between the efficiency of ETFs vis-a-vis their underlying indices. These findings should nudge investors to exercise caution while dealing with ETFs, for domestic ETFs do not exactly mimic the dynamics of their underlying indices. 2021, Academy of Economics and Finance.
- Source
- Journal of Economics and Finance, Vol-46, No. 2, pp. 347-359.
- Date
- 2022-01-01
- Publisher
- Springer
- Subject
- Adaptive market hypothesis; COVID-19; Entropy; Exchange traded funds
- Coverage
- Saha K., Institute for Financial Management and Research (IFMR), Chennai, India, School of Business and Management, CHRIST (Deemed to be University), Bengaluru, India; Madhavan V., Amrut Mody School of Management, Ahmedabad University, Ahmedabad, India; Chandrashekhar G.R., Prestige Education Foundation, Indore, India
- Rights
- All Open Access; Bronze Open Access
- Relation
- ISSN: 10550925
- Format
- Online
- Language
- English
- Type
- Article
Collection
Citation
Saha K.; Madhavan V.; Chandrashekhar G.R., “Effect of COVID-19 on ETF and index efficiency: evidence from an entropy-based analysis,” CHRIST (Deemed To Be University) Institutional Repository, accessed February 26, 2025, https://archives.christuniversity.in/items/show/15116.