Effect of COVID-19 on ETF and index efficiency: evidence from an entropy-based analysis

We examine the informational efficiency of domestic equity ETFs vis-a-vis their underlying market indices during COVID-19 pandemic. To do so, we employ a multiscale entropy-based methodology. Our findings indicate that all as well fall sharply COVID induced crash in February-March 2020. Having said find disproportionate deterioration and pertaining to USA Canada compared those China, Hong Kong Taiwan. Interestingly, certain developed markets were found be less efficient than emerging counterparts even pre-covid timeline. Lastly, there is discernible difference between indices. These should nudge investors exercise caution while dealing with ETFs, for not exactly mimic dynamics