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...

Descripción completa

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
_version_ 1784852656097853440
author Frezza, Massimiliano
Bianchi, Sergio
Pianese, Augusto
author_facet Frezza, Massimiliano
Bianchi, Sergio
Pianese, Augusto
author_sort Frezza, Massimiliano
collection PubMed
description 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.
format Online
Article
Text
id pubmed-9761193
institution National Center for Biotechnology Information
language English
publishDate 2021
publisher Elsevier Inc.
record_format MEDLINE/PubMed
spelling pubmed-97611932022-12-19 Fractal analysis of market (in)efficiency during the COVID-19 Frezza, Massimiliano Bianchi, Sergio Pianese, Augusto Financ Res Lett Article 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. Elsevier Inc. 2021-01 2020-11-19 /pmc/articles/PMC9761193/ /pubmed/36569648 http://dx.doi.org/10.1016/j.frl.2020.101851 Text en © 2020 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Frezza, Massimiliano
Bianchi, Sergio
Pianese, Augusto
Fractal analysis of market (in)efficiency during the COVID-19
title Fractal analysis of market (in)efficiency during the COVID-19
title_full Fractal analysis of market (in)efficiency during the COVID-19
title_fullStr Fractal analysis of market (in)efficiency during the COVID-19
title_full_unstemmed Fractal analysis of market (in)efficiency during the COVID-19
title_short Fractal analysis of market (in)efficiency during the COVID-19
title_sort fractal analysis of market (in)efficiency during the covid-19
topic Article
url 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
work_keys_str_mv AT frezzamassimiliano fractalanalysisofmarketinefficiencyduringthecovid19
AT bianchisergio fractalanalysisofmarketinefficiencyduringthecovid19
AT pianeseaugusto fractalanalysisofmarketinefficiencyduringthecovid19

Ejemplares similares