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The Synergic Interplay Between Entropy, Predictability, And Informational Efficiency Of The Shanghai Sectoral Index

Author

Listed:
  • LEONARDO H. S. FERNANDES

    (Department of Economics and Informatics, Federal Rural University of Pernambuco, Serra Talhada, PE 56909-535, Brazil)

  • FERNANDO H. A. DE ARAUJO

    (��Federal Institute of Education, Science and Technology of Paraíba, Campus Patos PB. Acesso Rodovia PB 110, S/N Alto Tubiba – 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)

  • MARCO C. M. FILHO

    (��Federal Institute of Education, Science and Technology of Paraíba, Campus Patos PB. Acesso Rodovia PB 110, S/N Alto Tubiba – CEP)

  • BENJAMIN M. TABAK

    (�School of Public Policy and Government, Getulio Vargas Foundation, Brasilia, DF, Brazil)

Abstract

We explore the synergic interplay between entropy (disorder), predictability, and informational efficiency of the daily closing price time series of 13 sectoral economics components of the Shanghai index letter considering three non-overlapping periods (before and during COVID-19 and Russia–Ukraine war). Our findings reveal that the telecom services, financials, and consumer discretionary sectors are marked by higher informational efficiency. Otherwise, the industrials, utilities, and transportation sectors exhibit lower informational efficiency. These insights are relevant for financial agents to make informed decisions, manage risk, and seek opportunities in an ever-changing market environment.

Suggested Citation

  • Leonardo H. S. Fernandes & Fernando H. A. De Araujo & Jos㉠W. L. Silva & Marco C. M. Filho & Benjamin M. Tabak, 2023. "The Synergic Interplay Between Entropy, Predictability, And Informational Efficiency Of The Shanghai Sectoral Index," FRACTALS (fractals), World Scientific Publishing Co. Pte. Ltd., vol. 31(09), pages 1-10.
    • Handle: RePEc:wsi:fracta:v:31:y:2023:i:09:n:s0218348x23501219
    DOI: 10.1142/S0218348X23501219
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