The impact of the Russia-Ukraine conflict on market efficiency: Evidence for the developed stock market

•Markets are not efficient in times of crisis.•COVID-19 had more impact on market efficiency than the Russia-Ukraine conflict.•- Developed markets have multifractality. This paper investigates the impact of the Russia-Ukraine conflict on the stock market efficiency of six developed countries. The sample is composed of daily stock index data from the United States (US), United Kingdom, Germany, France, Italy and Spain. Market efficiency was analyzed by the multifractal structure of the series of returns in four periods (full series, COVID-19 outbreak, before the conflict and after the conflict). The results show the presence of multifractality of the index's return series in periods of crisis. The evidence rejects the market efficiency hypothesis and indicates the predictability of asset prices in times of instability and global financial crisis. Our findings can help fund managers, institutional investors, and investors in general to make decisions about asset allocation in times of crisis.