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crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby …, speculators' heterogeneity occasionally vanishes, e.g. due to panic-induced herding behavior, yielding extreme returns. Lasting … regimes with high volatility originate from the fact that speculators extract stronger trading signals out of past stock price …
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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...
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