Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak

Faheem Aslam, Wahbeeah Mohti and Paulo Ferreira
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Faheem Aslam: Department of Management Sciences, COMSATS University, Islamabad 45550, Pakistan
Wahbeeah Mohti: Department of Business Administration, Iqra University, Islamabad 75500, Pakistan

IJFS, 2020, vol. 8, issue 2, 1-13

Abstract: This study assesses how the coronavirus pandemic (COVID-19) affects the intraday multifractal properties of eight European stock markets by using five-minute index data ranging from 1 January 2020 to 23 March 2020. The Hurst exponents are calculated by applying multifractal detrended fluctuation analysis (MFDFA). Overall, the results confirm the existence of multifractality in European stock markets during the COVID-19 outbreak. Furthermore, based on multifractal properties, efficiency varies among these markets. The Spanish stock market remains most efficient while the least efficient is that of Austria. Belgium, Italy and Germany remain somewhere in the middle. This far-reaching outbreak demands a comprehensive response from policy makers to improve market efficiency during such epidemics.

Keywords: econophysics; high frequency; multifractal analysis; COVID-19; stock markets (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (29)

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