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.
Fractal analysis of market (in)efficiency during the COVID-19 / Frezza, Massimiliano; Bianchi, Sergio; Pianese, Augusto. - In: FINANCE RESEARCH LETTERS. - ISSN 1544-6123. - (2021). [10.1016/j.frl.2020.101851]
Fractal analysis of market (in)efficiency during the COVID-19
Frezza, Massimiliano
;Bianchi, SergioCo-primo
;
2021
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.| File | Dimensione | Formato | |
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