Stock market efficiency in MENA countries during crises: insights from Shannon and Tsallis entropy

This study examines the informational efficiency of eight MENA stock markets during four major crises: the Global Financial Crisis, the Arab Spring, COVID-19, and the Russia – Ukraine war. Using daily data (2007–2011; 2020–2024) and rolling Shannon and Tsallis entropy, we assess linear and nonlinear efficiency. Results show a systematic decline in efficiency during crises, with stronger inefficiencies in Tunisia, Egypt, and Lebanon. Shannon entropy indicates reduced randomness, while Tsallis entropy reveals nonlinear dependence and herding. The findings support the Adaptive Market Hypothesis. Policy implications emphasize improving liquidity, transparency, and diversification to enhance market resilience.