Does the Coronavirus Crash affect green equity markets’ efficiency? A multifractal analysis

Joaquim Ferreira and Flávio Morais

Journal of Sustainable Finance & Investment, 2026, vol. 16, issue 1, 110-135

Abstract: This study assesses the multifractality and degree of efficiency regarding the following green equity markets: Dow Jones Sustainability Index, S&P Global Clean Energy, Nasdaq OMX Green Economy, and S&P Global 1200 Carbon Efficient. For that purpose, MF-DFA and three measures of efficiency analysis are applied. It is performed on two samples, corresponding to Full Sample and Full Sample without the Coronavirus Crash (excluding the period from February 20, 2020 to August 31, 2020). The outcomes ratify that the Coronavirus Crash increases markets’ multifractality and decreases their efficiency. S&P Global 1200 Carbon Efficient shows the highest degree of multifractality and the lowest efficiency, while S&P Global Clean Energy shows the lowest multifractality and highest efficiency. The sources of markets’ multifractality derive from long-range correlations and fat-tailed distributions for both samples. The time-varying efficiency of green equity markets confirms a decrease in efficiency after the Coronavirus Crash.

Date: 2026
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DOI: 10.1080/20430795.2022.2105787

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