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.
This study assesses the effects of the US financial and the Eurozone debt crises on a large set of frontier stock markets. Detrended Cross Correlation Analysis (DCCA) and Detrended Moving Cross Correlation Analysis (DMCA) are employed to investigate whether correlations between the crises-originating countries ts (US and Greece) and frontier stock markets increased from the calm to each crisis periods. Our results indicate that this was indeed the case and frontier markets were affected by both crises. DCCA and DMCA coefficients increased significantly for countries in Europe and also, although not so strongly, for Middle Eastern ones with the subprime crisis. In the case of the Eurozone debt crisis, the most affected countries were Slovenia, Romania, Nigeria, Kuwait, Oman and Vietnam. Evidence of contagion, using the test proposed by Guedes et al. (2018a, 2018b), is thus weaker in the case of the European debt crisis,leading to the conclusion that frontier stock markets were more affected by the US financial turmoil.
This paper examines the impact of 410 terrorist attacks on the performance of five Asian stock markets. The empirical findings indicate that terrorism has a significant impact on the stock markets. Furthermore, the magnitude of these effects varies with respect to country, attack type, target type and severity of the attacks. In target type, terrorist attacks on business sector and security forces are particularly destructive for the stock markets. Likewise, in attack type, suicide attacks and bomb blasts particularly generate a significant downward movement in the stock markets. Furthermore, the more severe attacks have larger negative impact on market returns.
This paper assesses the levels of regional and global stock market integration of emerging and frontier Asian countries. The long run relationships established amongst markets are investigated using Gregory and Hansen's cointegration tests and Detrended Cross Correlation coefficients. The results of the empirical analysis indicate that all considered emerging markets display some evidence of both global and regional integration. In the case of frontier markets, however, this is true solely for Pakistan and, to a lesser extent, for Vietnam. These results are of interest, inter alia, to international investors interested in expanding the geographical scope of portfolio diversification strategies.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.