Fractal analysis of market (in)efficiency during the COVID-19
| Autor: | Sergio Bianchi, Massimiliano Frezza, Augusto Pianese |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
2019-20 coronavirus outbreak
050208 finance Coronavirus disease 2019 (COVID-19) Severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) 05 social sciences Financial market Multifractional Brownian motion COVID-19 pandemic Fractal analysis Multifractional brownian motion Efficient markets Pointwise regularity exponent 0502 economics and business Econometrics Economics 050207 economics Volatility (finance) Inefficiency Finance |
| Zdroj: | Finance Research Letters Web of Science |
| Popis: | Using the multifractional Brownian motion as a model of the price dynamics, we analyze the impact of the COVID-19 pandemic on the efficiency of fifteen financial markets from Europe, US and Asia. We find that Asian markets (Hang Seng, Nikkei 225, Kospi) have recovered full efficiency, while European and US markets - after an initial rebound - have not yet returned to the pre-crisis level of efficiency. The inefficiency that currently characterizes US and European markets originates moderately high levels of volatility. |
| Databáze: | OpenAIRE |
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