Evidence of Intraday Multifractality in European Stock Markets during the recent Coronavirus (COVID-19) Outbreak
high-frequency, Econophysics, Multifractal analysis, Stock markets, COVID-19
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.
Paulo Ferreira, Wahbeeah Mohti, Faheem Aslam
International Journal of Financial Studies