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

Massimiliano Frezza;Sergio Bianchi;Augusto Pianese
2021-01-01

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 in questo prodotto:
File Dimensione Formato  
2020 FRL - 1-s2.0-S1544612320316652-main - Fractal analysis of market (in)efficiency during the COVID-19.pdf

accesso aperto

Descrizione: Articolo in rivista
Tipologia: Versione Editoriale (PDF)
Licenza: Creative commons
Dimensione 2.31 MB
Formato Adobe PDF
2.31 MB Adobe PDF Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11580/85123
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 29
social impact