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Evaluating the Efficiency of Brazilian Stock Market Indices: The Case of COVID-19

This paper studies the efficiency of Brazilian activity sectors. For that, we apply the Macroeconophysics Indicator of Economic Efficiency (MIEE) for each sector’s index of the daily closing price in the stock market. The MIEE quantifies efficiency considering permutation entropy and Fisher Information. We divide the indices time series into two periods: before COVID-19 and during COVID-19. The overall results indicate that efficiency has decreased for the majority of stock market indices, suggesting that the recent crisis has had a deleterious effect on stock efficiency.