Asymmetric market efficiency of the Eurozone using the MF-DFA: a comparison between global financial crisis and COVID-19 era

Sajid Ali, S. Raza, K. Khan
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引用次数: 0

Abstract

PurposeThis research paper aims to explore asymmetric market efficiency of the 13 Euro countries, i.e. Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherland, Portugal, Slovakia, Slovenia and Spain, concerning the period before global financial crisis (GFC), after GFC and period of COVID-19 pandemic.Design/methodology/approachMultifractal detrended fluctuation analysis (MF-DFA) is applied to examine the persistence and anti-persistency. It also discusses the random walk behavior hypothesis of these 13 countries non-stationary time series. Additionally, generalized Hurst exponents are applied to estimate the relative efficiency between short- and long-run horizons and small and large fluctuations.FindingsThe current study results suggest that most countries' markets are multifractal and exhibit long-term persistence in the short and long run. Moreover, the results with respect to full sample confirm that Portugal is the most efficient country in short run and Austria is the least efficient country. However, in long run, Austria appeared to be highly efficient, and Slovakia is the least efficient. In the pre-GFC period, Greece is said to be the relatively most efficient market in the short run, whereas Austria is the most efficient market in the long run. In the case of Post-GFC, Netherland and Ireland are the most efficient markets in short and long run, respectively. Lastly, COVID-19 results indicate that Finland's stock market is the most efficient in short run. Whereas, in the long run, the high efficiency is illustrated by Germany. In contrast, the most affected stock market due to COVID-19 is Belgium.Originality/valueThis study will add value to the present knowledge on efficient market hypothesis (EMH) with the MF-DFA approach. Also, with the MF-DFA approach, potential investors will be capable of ranking the stock markets of Eurozone countries based on their efficiency in the period before and after GFC and then specifically in the period of COVID-19.
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基于MF-DFA的欧元区不对称市场效率:全球金融危机与新冠肺炎时代的比较
目的研究奥地利、比利时、芬兰、法国、德国、希腊、爱尔兰、意大利、荷兰、葡萄牙、斯洛伐克、斯洛文尼亚和西班牙等13个欧洲国家在全球金融危机前、危机后和新冠肺炎大流行期间的非对称市场效率。设计/方法/方法应用多重分形去趋势波动分析(MF-DFA)来检验持久性和反持久性。并讨论了这13个国家非平稳时间序列的随机行走行为假说。此外,应用广义赫斯特指数来估计短期和长期以及小波动和大波动之间的相对效率。研究结果目前的研究结果表明,大多数国家的市场是多重分形的,并在短期和长期内表现出长期持续性。此外,关于全样本的结果证实,葡萄牙是短期内效率最高的国家,奥地利是效率最低的国家。然而,从长远来看,奥地利的效率似乎很高,斯洛伐克的效率最低。在全球金融危机爆发前,希腊被认为是短期内效率相对最高的市场,而奥地利则是长期内效率最高的市场。就后全球金融危机而言,从短期和长期来看,荷兰和爱尔兰分别是效率最高的市场。最后,新冠肺炎的结果表明,芬兰股市在短期内效率最高。然而,从长远来看,德国证明了这种高效率。相比之下,受新冠肺炎影响最大的股票市场是比利时。独创性/价值本研究将通过MF-DFA方法为目前关于有效市场假说(EMH)的知识增加价值。此外,通过MF-DFA方法,潜在投资者将能够根据GFC前后以及新冠肺炎期间的效率对欧元区国家的股票市场进行排名。
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来源期刊
CiteScore
6.90
自引率
0.00%
发文量
21
审稿时长
24 weeks
期刊介绍: European Journal of Management and Business Economics is interested in the publication and diffusion of articles of rigorous theoretical, methodological or empirical research associated with the areas of business economics, including strategy, finance, management, marketing, organisation, human resources, operations, and corporate governance, and tourism. The journal aims to attract original knowledge based on academic rigour and of relevance for academics, researchers, professionals, and/or public decision-makers.
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