The Impact of the Russia-Ukraine Conflict on Market Efficiency : Evidence for the Developed Stock Market
This paper investigates the impact of the Russia-Ukraine conflict on the stock market efficiency of six developed countries. The sample is composed of daily stock index data from USA, UK, Germany, France, Italy and Spain. Market efficiency was analyzed by the multifractal structure of the series of returns. The results show the presence of multifractality of the index's return series in periods of crisis. The evidence rejects the market efficiency hypothesis, indicating the predictability of asset prices in times of instability. Our findings can help fund managers and institutional investors to make decisions about asset allocation in times of crisis
Year of publication: |
2022
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Authors: | Gaio, Luiz Eduardo ; Stefanelli, Nelson Oliveira ; Pimenta Júnior, Tabajara ; Bonacim, Carlos Alberto Grespan ; Gatsios, Rafael Confetti |
Publisher: |
[S.l.] : SSRN |
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