Autor según el artículo: Bariviera, AF; Fabregat-Aibar, L; Sorrosal-Forradellas, MT
Departamento: Gestió d'Empreses
Autor/es de la URV: Fabregat Aibar, Laura / Fernández Bariviera, Aurelio / Sorrosal Forradellas, Maria Teresa
Palabras clave: 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
Resumen: 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.
Áreas temáticas: Finance Engenharias iii Economia Ciencias sociales Business, management and accounting (miscellaneous) Business, finance Administração pública e de empresas, ciências contábeis e turismo
Acceso a la licencia de uso: https://creativecommons.org/licenses/by/3.0/es/
Direcció de correo del autor: laura.fabregat@urv.cat aurelio.fernandez@urv.cat mariateresa.sorrosal@urv.cat
Identificador del autor: 0000-0002-0077-161X 0000-0003-1014-1010 0000-0003-4719-452X
Fecha de alta del registro: 2024-08-03
Versión del articulo depositado: info:eu-repo/semantics/publishedVersion
URL Documento de licencia: https://repositori.urv.cat/ca/proteccio-de-dades/
Referencia al articulo segun fuente origial: Research In International Business And Finance. 65 101928-
Referencia de l'ítem segons les normes 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
DOI del artículo: 10.1016/j.ribaf.2023.101928
Entidad: Universitat Rovira i Virgili
Año de publicación de la revista: 2023
Tipo de publicación: Journal Publications
Repositori URV