INFORMATIONAL EFFICIENCY OF THE US MARKETS FOR IMPLIED VOLATILITY BEFORE AND AFTER THE COVID-19 PANDEMIC

The objective of this work is to assess informational efficiency in four US markets for implied volatility. This has been pursued using daily data over 2015 2021 and a composite index that accounts three possible sources inefficiency associated with long-range dependence, short-range entropy. dominant pattern dependence anti-persistence both before during the pandemic. same applies especially presence an indication investors’ over-reaction incoming information implies oscillatory trading strategies have probably more successful trend-following ones. During Covid-19 pandemic, entropy decreased all cases suggesting volatility series became predictable; intensity, however, remained largely unaffected. As result these developments, at least two (those related stock crude oil) fell.