Author, as appears in the article.: Bariviera, AF; Fabregat-Aibar, L; Sorrosal-Forradellas, MT
Department: Gestió d'Empreses
URV's Author/s: Fabregat Aibar, Laura / Fernández Bariviera, Aurelio / Sorrosal Forradellas, Maria Teresa
Keywords: Multifractality Informational efficiency Hurst exponent Detrended fluctuation analysis Crisis Covid-19 time stock prices predictability multifractality memory informational efficiency equilibrium crisis covid-19 brownian-motion
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: Finance Engenharias iii Economia Ciencias sociales Business, management and accounting (miscellaneous) Business, finance Administração pública e de empresas, ciências contábeis e turismo
licence for use: https://creativecommons.org/licenses/by/3.0/es/
Author's mail: laura.fabregat@urv.cat aurelio.fernandez@urv.cat mariateresa.sorrosal@urv.cat
Author identifier: 0000-0002-0077-161X 0000-0003-1014-1010 0000-0003-4719-452X
Record's date: 2024-08-03
Papper version: info:eu-repo/semantics/publishedVersion
Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
Papper original source: Research In International Business And Finance. 65 101928-
APA: Bariviera, AF; Fabregat-Aibar, L; Sorrosal-Forradellas, MT (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
Entity: Universitat Rovira i Virgili
Journal publication year: 2023
Publication Type: Journal Publications
Repositori URV