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

Massimiliano Frezza, Sergio Bianchi and Augusto Pianese

Finance Research Letters, 2021, vol. 38, issue C

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 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316652

DOI: 10.1016/j.frl.2020.101851

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