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Asymmetric multifractality, comparative efficiency analysis of green finance markets: A dynamic study by index-based model

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  • Zhuang, Xiaoyang
  • Wei, Dan

Abstract

In this paper, we comprehensively investigate the multifractal scaling behavior and efficiency of green finance markets, conventional equity indices and crude oil by index-based asymmetric multifractal detrended fluctuation analysis. The overall empirical findings revealed that upward and downward trends of green finance market indices exist significant multifractality and considerable asymmetry. And they are far from efficient no matter small or large fluctuations. In the study, the informational inefficiency levels are ranked by several multifractality degree measures. The green finance markets show relatively efficiency, compared to equity and crude oil markets. We also analyze the dynamics of the multifractality and inefficiency of green financial market indices by the rolling window approach. At last, some relevant discussions and implications of the empirical results are presented.

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  • Zhuang, Xiaoyang & Wei, Dan, 2022. "Asymmetric multifractality, comparative efficiency analysis of green finance markets: A dynamic study by index-based model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
    • Handle: RePEc:eee:phsmap:v:604:y:2022:i:c:s037843712200601x
    DOI: 10.1016/j.physa.2022.127949
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