Sectoral Efficiency and Resilience: A Multifaceted Analysis of S&P Global BMI Indices Under Global Crises

Milena Kojić, Slobodan Rakić, José Wesley Lima da Silva and Fernando Henrique Antunes de Araujo ()
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Milena Kojić: Institute of Economic Sciences, Zmaj Jovina 12, 11000 Belgrade, Serbia
Slobodan Rakić: Global Association of Risk Professionals, 111 Town Square Place, Jersey City, NJ 07310, USA
José Wesley Lima da Silva: Department of Statistics and Informatics, Federal Rural University of Pernambuco, Recife 52171-900, PE, Brazil
Fernando Henrique Antunes de Araujo: Federal Institute of Education Science and Technology of Paraíba, Campus Patos PB, Acesso Rodovia PB 110, S/N, Alto da Tubiba, Patos 58700-030, PB, Brazil

Mathematics, 2025, vol. 13, issue 4, 1-26

Abstract: This study investigates the complexity, efficiency, and sectoral interdependencies of the S&P Global BMI indices during critical global events, including the COVID-19 pandemic and the Russia–Ukraine war. The analysis is conducted in three dimensions: (1) evaluating market efficiency using permutation entropy and the Fisher information measure, (2) exploring sectoral alignments through clustering techniques (hierarchical and k-means clustering), and (3) assessing the influence of geopolitical risk using Multifractal Detrended Cross-Correlation Analysis (MFDCCA). The results highlight significant variations in informational efficiency across sectors, with Utilities and Consumer Staples exhibiting high efficiency, while Emerging Markets and Financials reflect lower efficiency levels. Temporal analysis reveals widespread efficiency declines during the pandemic, followed by mixed recovery patterns during the Ukraine conflict. Clustering analysis uncovers dynamic shifts in sectoral relationships, emphasizing the resilience of defensive sectors and the unique behavior of Developed BMI throughout crises. MFDCCA further demonstrates the multifractality in cross-correlations with geopolitical risk, with Consumer Staples and Energy showing stable persistence and Information Technology exhibiting sensitive complexity. These findings emphasize the adaptive nature of global markets in response to systemic and geopolitical shocks, offering insights for risk management and investment strategies.

Keywords: S&P Global BMI sectoral indices; price dynamics; efficient market hypothesis; informational efficiency; clustering; MFDCCA; COVID-19; Russian–Ukraine war; geopolitical risk (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2025
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