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

Abstract

This article evaluates the effects of the crisis caused by the new Coronavirus (COVID-19) on the Chinese sectoral indices. Using the complexity–entropy plane methodology, we find that the COVID-19 crisis caused increased inefficiency in most of China’s equity sectors. We also find heterogeneous effects depending on the economic sector. Our results are useful for a better understanding the effect of global shocks on the stock markets and how their effects are distributed across economic sectors.