Are rare earth stocks efficient? Novel insights using asymmetric MF-DFA

Pengbo Wan, Ghulam Mujtaba (), Saira Ashfaq, Song Liangrong and Rana Muhammad Nasir
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Pengbo Wan: Hubei University of Economics
Ghulam Mujtaba: York St John University
Saira Ashfaq: York St John University
Song Liangrong: University of Shanghai for Science & Technology
Rana Muhammad Nasir: University of Science & Technology

Financial Innovation, 2025, vol. 11, issue 1, 1-17

Abstract: Abstract This study investigates the weak-form efficiency and asymmetric multifractal scaling behavior of rare earth stock indices in the global, U.S. and Chinese markets during the trade war and the COVID-19 period. We examine the scaling behavior across overall, upward (bullish), and downward (bearish) market states from 2013 to 2021, employing an asymmetric multifractal detrended fluctuation analysis approach. Our findings indicate asymmetric multifractality in U.S. rare earth stock prices, caused by fat tails and long-range correlations. Weak-form price inefficiency and asymmetry in U.S. rare earth stock prices are prominent during market downturns, such as the trade war and COVID-19 periods. Chinese rare earth stocks demonstrate greater efficiency than U.S. and global stocks; thus, the latter markets provide arbitrage opportunities during upward and downward trends.

Keywords: Rare earth stocks; Long memory; Efficiency; Asymmetric MF-DFA; COVID-19; Trade war (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1186/s40854-024-00744-x

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