Disentangling the impact of economic and health crises on financial markets

Aurelio Fernandez Bariviera, Laura Fabregat-Aibar and Maria-Teresa Sorrosal-Forradellas

Research in International Business and Finance, 2023, vol. 65, issue C

Abstract: This paper explores the impact of different crises on the informational efficiency of financial assets. The study covers stock markets indices (ASX200, DAX30, EuroStoxx50, S&P500 and Nikkei), commodities (gold and oil) and volatility (VIX). The study analyzes, using a rolling window method, the long memory profile and the multifractality of the time series by means of the DFA and generalized Hurst exponents. This dynamic analysis is important as it uncovers the time-varying behavior of returns characteristics, affecting the investment decisions and trading strategies at different moments of time. The paper extends the current literature on informational efficiency, providing evidence of the distinct impact on the long memory and on the multifractality of the time series, depending on the nature of the crisis and the market. The results could be of interest for investors as well as for academics, regarding the hedging limits of the models during calm or turbulent times.

Keywords: Hurst exponent; Multifractality; Crisis; Covid-19; Informational efficiency (search for similar items in EconPapers)
JEL-codes: C4 G01 G14 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000545

DOI: 10.1016/j.ribaf.2023.101928

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