Insights from the (in)efficiency of Chinese sectoral indices during COVID-19

Fernandes, Leonardo H.S.; Araujo, Fernando Henrique Antunes de; Tabak, Benjamin Miranda

doi:10.1016/j.physa.2021.126063

Cited by 42 publications

(18 citation statements)

References 41 publications

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“…However, the crisis's impacts are not homogeneous across sectors, which indicates that large global shocks change stock markets' dynamics. Diversification plays an essential role in absorbing such shocks and reducing systemic risks [5]. Dhar et al researched the impact of COVID-19 on Chinese businesses and industries.…”

Section: Related Researchmentioning

confidence: 99%

The Impact of COVID-19 on Stock Market and China’s Economy

Chen¹,

Dong²

2022

Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)

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Under the background of the COVID-19 pandemic, China's economy has been impacted to a certain extent. With the promulgation of the shutdown policy, domestic consumption and production have stagnated, and the stock index fell to a great extent in the first and second quarters. This study evaluated the impact using the OLS regression method to analyze the relationship between the daily newly confirmed number of COVID-19 in China and the stock index and stock turnover. GDP and consumer confidence indicator (CCI) are also the observation objects of this research. By studying the changes in production, consumption, and investment during the epidemic, this paper explains the epidemic's impact on China's stock market and economy. The result shows covid-19 greatly impacts the production capacity of enterprises and the consumption expectation of residents, resulting in a significant decline in GDP and CCI, leading to the downturn of the economy. The epidemic also has a great impact on the stock market. The stock index will fall every time a new epidemic breaks out, and there is a significant correlation between them. The Chinese government has issued an epic prevention and control policy that forces enterprises to suspend their production and many other business activities. This affected the enterprise's production capacity, made its share price fall, and plunged the stock market into a downturn. However, during the epidemic period, the stock market's trading volume increased significantly due to the reduction of consumption and the instability of enterprise operations.

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Section: Related Researchmentioning

confidence: 99%

The Impact of COVID-19 on Stock Market and China’s Economy

Chen¹,

Dong²

2022

Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)

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“…By the way, for a given permutation entropy value, Jensen-Shannon statistical complexity reflects an efficient measure employed in the study of the randomness of the phenomenon considering its physical components (structural correlations) [36]. The definition of statistical complexity [35] ensures that both strictly increasing and decreasing series (for which J[P ] = 0) and completely random series (for which K[P, U ] = 0) have zero complexity.…”

Section: Complexity-entropy Causality Plane (Cecp)mentioning

confidence: 99%

“…We apply the values exhibited of the time series in each window m t to calculate permutation entropy and FIM, which derives the temporal evolution of the window position in the SFCP [36].…”

Section: Sliding Window Approachmentioning

confidence: 99%

Assessment of Sector Bond, Equity Indices and Green Bond Index Using Information Theory Quantifiers and Clusters Techniques

et al. 2023

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Green bonds are financial assets similar to classic debt securities used to finance sustainable investments. Given this, they are a long-term investment alternative that effectively contributes to the planet’s future by preserving the environment and encouraging sustainable development. This research encompasses a rich dataset of equity and bond sectors, general indices, and the S&P Green Bond Index. We estimate the permutation entropy [Formula: see text], an appropriate statistical complexity measure [Formula: see text], and Fisher Information measure [Formula: see text]. Therefore, we employ these complexity measures to construct two 2D maps, the complexity-entropy causality plane ([Formula: see text] ×[Formula: see text]) and the Shannon–Fisher causality plane ([Formula: see text] ×[Formula: see text]). Also, we use the information theory quantifiers to rank these indices’ efficiency analogous to the complexity hierarchy. From a mathematical point of view, the complexity-entropy causality plane (CECP) is a map that considers the global analysis, while the SFCP is a map that simultaneously feels the global and local analysis. Our findings reveal that both 2D maps indicated the most efficient (b_info_tech) and least efficient (b_energy) assets. There are peculiarities in the ranking performed considering the information theory quantifiers used to build each map due to the mathematical distinction that underlies the construction of each map. Moreover, we applied two clustering approaches ([Formula: see text]-means and Hierarchical cluster) that categorically converged in the indication of four distinct groups, which allowed us to verify that, in an overview, equities present a unique dynamic when compared to bonds and the Green bond index.

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“…The (CECP) is a two-dimensional map that was suggested by Rosso et al (2007). The abscissa axis of this map reflects the permutation entropy, while the ordinate axis of this map signifies the Jensen-Shannon statistical complexity measure (Fernandes et al (2021e)):…”

Section: Complexity-entropy Causality Plane (Cecp)mentioning

confidence: 99%

Un(punishment) of Russia-Ukraine war in the top ten digital currencies

Fernandes

Araujo²,

Silva

et al. 2022

Preprint

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This letter has investigated the exogenous shocks (climate change and the Russia-Ukraine war) in the top ten digital currencies' price dynamics. Therefore, we use the information theory quantifiers. We discover that the exogenous shocks have an ambiguous effect on the informational efficiency of these digital currencies. Our results shed light on the potential of altcoins to support exogenous shocks and their capability to use with portfolio selection, risk diversification and herding behaviour.

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Insights from the (in)efficiency of Chinese sectoral indices during COVID-19

Cited by 42 publications

References 41 publications

The Impact of COVID-19 on Stock Market and China’s Economy

The Impact of COVID-19 on Stock Market and China’s Economy

Assessment of Sector Bond, Equity Indices and Green Bond Index Using Information Theory Quantifiers and Clusters Techniques

Un(punishment) of Russia-Ukraine war in the top ten digital currencies

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