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THE SYNERGIC INTERPLAY BETWEEN ENTROPY, PREDICTABILITY, AND INFORMATIONAL EFFICIENCY OF THE SHANGHAI SECTORAL INDEX

LEONARDO H. S. FERNANDES

https://orcid.org/0000-0001-8739-7511

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

E-mail Address: leonardo.henrique@ufrpe.br

Corresponding author.

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FERNANDO H. A. DE ARAUJO

https://orcid.org/0000-0001-5417-0513

Federal Institute of Education, Science and Technology of Paraíba, Campus Patos PB. Acesso Rodovia PB 110, S/N Alto Tubiba – CEP: 58700-030, PB, Patos, Brazil

E-mail Address: fernando.araujo@ifpb.edu.br

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JOSÉ W. L. SILVA

https://orcid.org/0000-0002-9127-2866

Department of Statistics and Informatics, Federal Rural University of Pernambuco, Rua Dom Manuel de Medeiros, S/N Dois Irmãos – CEP: 52171-900, PE, Recife, Brazil

E-mail Address: josewesley.silva@ufrpe.br

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MARCO C. M. FILHO

https://orcid.org/0009-0007-9388-6048

Federal Institute of Education, Science and Technology of Paraíba, Campus Patos PB. Acesso Rodovia PB 110, S/N Alto Tubiba – CEP: 58700-030, PB, Patos, Brazil

E-mail Address: marcos.mamede@academico.ifpb.edu.br

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BENJAMIN M. TABAK

https://orcid.org/0000-0002-7935-3188

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

E-mail Address: benjaminm.tabak@gmail.com

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https://doi.org/10.1142/S0218348X23501219Cited by:2 (Source: Crossref)

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.

Keywords:

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