Evidence of intraday multifractality in European stock markets during the recent coronavirus (covid-19) outbreak

Artikel

This study assesses how the coronavirus pandemic (COVID-19) affects the intraday multifractal properties of eight European stock markets by using five-minute index data ranging from 1 January 2020 to 23 March 2020. The Hurst exponents are calculated by applying multifractal detrended fluctuation analysis (MFDFA). Overall, the results confirm the existence of multifractality in European stock markets during the COVID-19 outbreak. Furthermore, based on multifractal properties, efficiency varies among these markets. The Spanish stock market remains most efficient while the least efficient is that of Austria. Belgium, Italy and Germany remain somewhere in the middle. This far-reaching outbreak demands a comprehensive response from policy makers to improve market efficiency during such epidemics.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 8 ; Year: 2020 ; Issue: 2 ; Pages: 1-13 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft ; Econometric and Statistical Methods and Methodology: General ; International Financial Markets
• Subject: COVID-19 ; econophysics ; high frequency ; multifractal analysis ; stock markets

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Aslam, Faheem ; Mohti, Wahbeeah ; Ferreira, Paulo
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2020

Further information

• DOI: doi:10.3390/ijfs8020031
• Handle: http://hdl.handle.net/10419/257698
• Last update: 10.03.2025, 11:43 AM CET