Author, as appears in the article.: Bariviera, Aurelio F.; Fabregat-Aibar, Laura; Sorrosal-Forradellas, Maria-Teresa

Department: Gestió d'Empreses

URV's Author/s: Fabregat Aibar, Laura / Fernández Bariviera, Aurelio / Sorrosal Forradellas, Maria Teresa

Keywords: brownian-motion covid-19 crisis equilibrium informational efficiency memory multifractality predictability prices stock time Covid-19 Crisis Detrended fluctuation analysis Hurst exponent Informational efficiency Multifractality

Abstract: This paper explores the impact of different crises on the informational efficiency of financial assets. The study covers stock markets indices (ASX200, DAX30, EuroStoxx50, S&P500 and Nikkei), commodities (gold and oil) and volatility (VIX). The study analyzes, using a rolling window method, the long memory profile and the multifractality of the time series by means of the DFA and generalized Hurst exponents. This dynamic analysis is important as it uncovers the time-varying behavior of returns characteristics, affecting the investment decisions and trading strategies at different moments of time. The paper extends the current literature on informational efficiency, providing evidence of the distinct impact on the long memory and on the multifractality of the time series, depending on the nature of the crisis and the market. The results could be of interest for investors as well as for academics, regarding the hedging limits of the models during calm or turbulent times.

Thematic Areas: Administração pública e de empresas, ciências contábeis e turismo Business, finance Business, management and accounting (miscellaneous) Ciencias sociales Economia Engenharias iii Finance

licence for use: https://creativecommons.org/licenses/by/3.0/es/

Author's mail: aurelio.fernandez@urv.cat mariateresa.sorrosal@urv.cat laura.fabregat@urv.cat

Author identifier: 0000-0003-1014-1010 0000-0003-4719-452X 0000-0002-0077-161X

Record's date: 2023-05-14

Papper version: info:eu-repo/semantics/publishedVersion

Papper original source: Research In International Business And Finance. 65 101928-

APA: Bariviera, Aurelio F.; Fabregat-Aibar, Laura; Sorrosal-Forradellas, Maria-Teresa (2023). Disentangling the impact of economic and health crises on financial markets. Research In International Business And Finance, 65(), 101928-. DOI: 10.1016/j.ribaf.2023.101928

Licence document URL: http://repositori.urv.cat/ca/proteccio-de-dades/

Article's DOI: 10.1016/j.ribaf.2023.101928

Entity: Universitat Rovira i Virgili

Journal publication year: 2023

Publication Type: Journal Publications