Fractal analysis of market (in)efficiency during the COVID-19

Fractal analysis of market (in)efficiency during the COVID-19

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...

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Veröffentlicht in:Finance research letters 2021-01, Vol.38, p.101851-101851, Article 101851
Hauptverfasser: Frezza, Massimiliano, Bianchi, Sergio, Pianese, Augusto
Format: Artikel
Sprache:eng
Schlagworte:
COVID-19 pandemic
Efficient markets
Multifractional Brownian motion
Pointwise regularity exponent
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Zusammenfassung: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.
ISSN:1544-6123
1544-6131
DOI:10.1016/j.frl.2020.101851