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Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak

Author

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  • Faheem Aslam

    (Department of Management Sciences, COMSATS University, Islamabad 45550, Pakistan
    Business School, Hanyang University, Seoul 04763, Korea)

  • Wahbeeah Mohti

    (Department of Business Administration, Iqra University, Islamabad 75500, Pakistan
    Department of Management, University of Évora, 7000 Évora, Portugal)

  • Paulo Ferreira

    (VALORIZA—Research Center for Endogenous Resource Valorization, 7300-555 Portalegre, Portugal
    Department of Economic Sciences and Organizations, Polytechnic Institute of Portalegre, 7300-555 Portalegre, Portugal
    CEFAGE-UE, IIFA, University of Évora, 7000 Évora, Portugal)

Abstract

This study assesses how the coronavirus pandemic (COVID-19) affects the intraday multifractal properties of eight European stock markets by using five-minute index data ranging from 1 January 2020 to 23 March 2020. The Hurst exponents are calculated by applying multifractal detrended fluctuation analysis (MFDFA). Overall, the results confirm the existence of multifractality in European stock markets during the COVID-19 outbreak. Furthermore, based on multifractal properties, efficiency varies among these markets. The Spanish stock market remains most efficient while the least efficient is that of Austria. Belgium, Italy and Germany remain somewhere in the middle. This far-reaching outbreak demands a comprehensive response from policy makers to improve market efficiency during such epidemics.

Suggested Citation

  • Faheem Aslam & Wahbeeah Mohti & Paulo Ferreira, 2020. "Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak," IJFS, MDPI, vol. 8(2), pages 1-13, May.
  • Handle: RePEc:gam:jijfss:v:8:y:2020:i:2:p:31-:d:363257
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