Stock market efficiency: An intraday case of study about the G-20 group

Given the importance of the financial markets in the global context, data analysis and new statistical approach are always welcome, especially if we are referring to G-20 group (the world's richest countries). As we know, the pandemic outbreak of COVID-19 has affected the global economy, and its impact seems to be inevitable (as it was in 2020). From the perspective of what was raised above, this paper aims to analyze the stock market efficiency in 21 indexes of G-20. We are going to do our analysis with intraday scale (of hour), from May 2019 to May 2020. In order to be successful in this analysis, we applied the DFA and the DCCA methods, to identify or not two points: i).. Are G-20 stock market efficient in their weak form? ii).. With open/close values, it is possible to identify some type of memory in G-20 group? The answer to these points will be given throughout this paper. For this purpose, the entire analysis will be divided into two different time-scale: Period I, time-scale less than five days and Period II, with time-scale greater than ten days. In the pandemic times of COVID-19, our results show that taking into account the DFA method, for time-scale shorter than 5 days, the stock markets tend to be efficient, whereas for time-scale longer than 10 days, the stock market tend to be inefficient. But, with DCCA method for cross-correlation analysis, the results for open/close indexes show different types of behaviors for each stock market index separately.