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

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

Paulo Ferreira, Wahbeeah Mohti, Faheem Aslam

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.

2020

high-frequency, Econophysics, Multifractal analysis, Stock markets, COVID-19

DOI: 10.3390/ijfs8020031

International Journal of Financial Studies

MDPI AG

Finance