Elsevier

Finance Research Letters

Volume 38, January 2021, 101851
Finance Research Letters

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

https://doi.org/10.1016/j.frl.2020.101851Get rights and content

Abstract

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.

Keywords

COVID-19 pandemic
Efficient markets
Pointwise regularity exponent
Multifractional Brownian motion

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