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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Detalles Bibliográficos
Autores principales: Frezza, Massimiliano, Bianchi, Sergio, Pianese, Augusto
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9761193/
https://www.ncbi.nlm.nih.gov/pubmed/36569648
http://dx.doi.org/10.1016/j.frl.2020.101851
Descripción
Sumario: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.

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