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Evaluating The Efficiency Of Brazilian Stock Market Indices: The Case Of Covid-19

Author

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  • LEONARDO H. S. FERNANDES

    (Department of Economics and Informatics, Federal Rural University of Pernambuco, Av. Gregório Ferraz Nogueira, S/N – José Tomé de Souza Ramos, 569090-535, PE, Serra Talhada, Brazil)

  • FERNANDO H. A. DE ARAUJO

    (Department of Statistics and Informatics, Federal Rural University of Pernambuco, Rua Dom Manuel de Medeiros, S/N Dois Irmãos – CEP)

  • JOSÉ W. L. SILVA

    (Department of Statistics and Informatics, Federal Rural University of Pernambuco, Rua Dom Manuel de Medeiros, S/N Dois Irmãos – CEP)

  • IGOR E. M. SILVA

    (Department of Economics, Federal University of Rio Grande do Norte, Natal, Brazil)

  • BENJAMIN MIRANDA TABAK

    (Escola de Políticas Públicas e Governo, Fundação Getulio Vargas – EPPG/FGV, Brazil)

Abstract

This paper studies the efficiency of Brazilian activity sectors. For that, we apply the Macroeconophysics Indicator of Economic Efficiency (MIEE) for each sector’s index of the daily closing price in the stock market. The MIEE quantifies efficiency considering permutation entropy and Fisher Information. We divide the indices time series into two periods: before COVID-19 and during COVID-19. The overall results indicate that efficiency has decreased for the majority of stock market indices, suggesting that the recent crisis has had a deleterious effect on stock efficiency.

Suggested Citation

  • Leonardo H. S. Fernandes & Fernando H. A. De Araujo & Jos㉠W. L. Silva & Igor E. M. Silva & Benjamin Miranda Tabak, 2022. "Evaluating The Efficiency Of Brazilian Stock Market Indices: The Case Of Covid-19," FRACTALS (fractals), World Scientific Publishing Co. Pte. Ltd., vol. 30(01), pages 1-11, February.
    • Handle: RePEc:wsi:fracta:v:30:y:2022:i:01:n:s0218348x22500141
    DOI: 10.1142/S0218348X22500141
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    Cited by:

    1. Fernandes, Leonardo H.S. & Bouri, Elie & Silva, José W.L. & Bejan, Lucian & de Araujo, Fernando H.A., 2022. "The resilience of cryptocurrency market efficiency to COVID-19 shock," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).

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