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Hurst Dynamics of S&P500 Returns : Implications and Impact on Market Efficiency, Long Memory, Multifractality and Financial Crises Predictability

Vogl, Markus; Roetzel, Peter Gordon - 2021

In this study, we apply a rolling window approach to wavelet-filtered (denoised) S&P500 returns (2000–2020) to obtain time varying Hurst exponents. We analyse the dynamics of the Hurst exponents by applying statistical tests (e.g., for stationarity, Gaussianity and self-similarity), a...

Persistent link: https://www.econbiz.de/10013229642

Brazilian stock-market efficiency before and after COVID-19 : the roles of fractality and predictability

Maciel, Leandro - In: Global finance journal 58 (2023), pp. 1-25

Persistent link: https://www.econbiz.de/10014631406

Pandemic outbreak, investor sentiment and stock market reaction : evidence from the frontier market, Sri Lanka

Rathnasekara, Ravi Dilantha; Nanayakkara, Neelangie … - In: Journal of economic research 27 (2022) 2, pp. 119-148

Persistent link: https://www.econbiz.de/10013455012

Market impacts of the 2020 short selling bans

Spolaore, Alessandro; Le Moign, Caroline - 2024

Persistent link: https://www.econbiz.de/10015051260

Financial market analogies of the COVID-19 pandemic : evidence from the Dow Jones Industrial Average Index

Andrada Félix, Julián; Fernández-Rodríguez, Fernando; … - In: Applied economics letters 30 (2023) 17, pp. 2364-2369

Persistent link: https://www.econbiz.de/10014365812

The fragility of market risk insurance

Koijen, Ralph S. J.; Yogo, Motohiro - In: The journal of finance : the journal of the American … 77 (2022) 2, pp. 815-862

Persistent link: https://www.econbiz.de/10013190462

Evolving efficiency of the BRICS markets

Kulikova, Maria V.; Taylor, David; Kulikov, Gennady Yu. - In: Economic systems 48 (2024) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10014535781

Multifractality during upside/downside trends in the MENA stock markets : the effects of the global financial crisis, oil crash and COVID-19 pandemic

Mensi, Walid; Yousaf, Imran; Xuan Vinh Vo; Kang, Sang Hoon - In: International journal of emerging markets 18 (2023) 10, pp. 4408-4435

Persistent link: https://www.econbiz.de/10014456152

Examining the efficiency of stock markets using multifractal detrended fluctuation analysis : empirical evidence from OIC (Organization of Islamic Cooperation) countries during the...

Rehan, Muhammad; Gül, Mustafa - In: The journal of risk finance : JRF 24 (2023) 5, pp. 657-683

Persistent link: https://www.econbiz.de/10014430832

The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey : a comparative analysis with COVID-19 outbreak and the global financial crisis

Erer, Deniz; Erer, Elif; Güngör, Selim - In: Financial innovation : FIN 9 (2023) 1, pp. 1-25

This study aims to examine the time-varying efficiency of the Turkish stock market's major stock index and eight sectoral indices, including the industrial, financial, service, information technology, basic metals, tourism, real estate investment, and chemical petrol plastic, during the COVID-19...

Persistent link: https://www.econbiz.de/10014289097