Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour
Syed Jawad Hussain Shahzad (),
Elie Bouri (),
Ghulam Mujtaba Kayani,
Rana Muhammad Nasir and
Ladislav Krištoufek ()
Physica A: Statistical Mechanics and its Applications, 2020, vol. 550, issue C
We examine the multifractal scaling behaviour and weak form market efficiency of clean energy stock indices using an asymmetric MF-DFA. We find asymmetric multifractality in the US, European, and global clean energy stock indices. Asymmetric multifractality in the clean energy stock index of the US is due to fat-tails and long-range correlation. However, for European and global clean stocks, multifractality is due only to fat-tailed distribution. We find higher efficiency in the upward trend of the European and global clean stock markets whereas, for the US, the market is less efficient when the market is upward trending. The time-varying market deficiency measure shows that US clean energy stocks are becoming relatively more efficient over time.
Keywords: Clean energy stocks; Long memory; Efficiency; MF-DFA (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:550:y:2020:i:c:s037843712030234x
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