Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics

Ammy-Driss, Ayoub; Garcin, Matthieu

doi:10.1016/j.physa.2022.128335

Cited by 14 publications

(7 citation statements)

References 70 publications

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“…Now, it is turning into one of the biggest financial disruptors ever [2]. In this way, COVID-19 is becoming an event that has far-reaching social, economic (Laing, 2020) and medical implications (Ammy-Driss and Garcin, 2020). The possible negative implication due to COVID-19 may include losses of about 25 million jobs, a decline in production output of $2.7 billion or damages to economies of about $4.1 billion, reported by UN International Labor Organization, Orlik, Bloomberg, or Asian Development Bank, respectively [3,4].…”

Section: Introductionmentioning

confidence: 99%

Temporal changes in global stock markets during COVID-19: an analysis of dynamic networks

Zaheer

Aslam

Mohmand

et al. 2022

CFRI

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PurposeCOVID-19 evolved from a local health crisis to a pandemic and affected countries worldwide accordingly. Similarly, the impacts of the pandemic on the performance of global stock markets could be time-varying. This study applies a dynamic network analysis approaches to evaluate the evolution over time of the impact of COVID-19 on the stock markets' network.Design/methodology/approachDaily closing prices of 55 global stock markets from August 1, 2019 to September 10, 2020 were retrieved. This sample period was further divided into nine subsample periods for dynamic analysis purpose. Distance matrix based on long-range correlations was calculated, using rolling window's length of 100 trading days, rolled forward at an interval of one month's working days. These distance matrices than used to construct nine minimum spanning trees (MSTs). Network characteristics were figured out, community detection and network rewiring techniques were also used for extracting meaningful from these MSTs.FindingsThe findings are, with the evolution of COVID-19, a change in co-movements amongst stock markets' indices occurred. On the 100th day from the date of reporting of the first cluster of cases, the co-movement amongst the stock markets become 100% positively correlated. However, the international investor can still get better portfolio performance with such temporal correlation structure either avoiding risk or pursuing profits. A little change is observed in the importance of authoritative node; however, this central node changed multiple times with change of epicenters. During COVID-19 substantial clustering and less stable network structure is observed.Originality/valueIt is confirmed that this work is original and has been neither published elsewhere, nor it is currently under consideration for publication elsewhere.

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Section: Introductionmentioning

confidence: 99%

Temporal changes in global stock markets during COVID-19: an analysis of dynamic networks

Zaheer

Aslam

Mohmand

et al. 2022

CFRI

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“…The variations of market efficiency through time for stock indices are also well documented [58,36,15,1,3,14]. Focusing on the CAC 40 index, the first lag (L = 1) seems to be the only significant one, in the information perspective, as one can see in Figure 7.…”

Section: Empirical Analysismentioning

confidence: 67%

“…Some extensions and transformations of the fBm make it possible to consider more general dynamics with some fractal features or even with more complex multifractal properties [59,41,22,37]. One can cite for instance stationary transformations [16,40,29,31], non-Gaussian extensions [61,64,3], Hurst exponents varying through time in a deterministic [18,11,28] or stochastic fashion [12,13,30], and the multifractal random walk [6,5,53].…”

Section: Market Information Of Fractal Dynamicsmentioning

confidence: 99%

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Maxwell’s Demon and Information Theory in Market Efficiency: A Brillouin’s Perspective

Brouty

Garcin

2022

The 41st International Workshop on Bayesian Inference and Maximum Entropy Methods in Science and Engineering

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“…In physics, the frequency and temperature-dependent behavior of viscoelastic materials [5] and the high performance of electronic circuits [6]. In economics and finance, the evolution of financial market efficiency [7] and the prediction of clean energy generation volume [8].…”

Section: Introductionmentioning

confidence: 99%

A novel entanglement functions-based 4D fractional-order chaotic system and its bifurcation analysis

Tang,

Li,

Huang

2024

Phys. Scr.

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A novel 4D fractional-order chaotic entanglement system based on sinusoidal functions is established in this paper. We aim to reveal the relationship between the dynamical behavior of the new system and its entanglement coefficients. It is found that the equilibrium point of the system varies regularly with the successive change of the entanglement coefficient. The supercritical pitchfork bifurcation phenomenon of the new system is discussed based on the fractional-order stability theory. Furthermore, sufficient conditions and threshold for supercritical Hopf bifurcation caused by the entanglement coefficient are provided. Finally, the route to chaos of the new system is explored utilizing multiple numerical indicators, such as spectral entropy complexity, bifurcation diagrams, Lyapunov exponential spectrum, phase portraits, and 0-1 test curves. The results indicate that in addition to various chaotic attractors, there are phenomena such as period-doubling bifurcations, period windows, and coexisting symmetric attractors (periodic or chaotic).

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Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics

Cited by 14 publications

References 70 publications

Temporal changes in global stock markets during COVID-19: an analysis of dynamic networks

Temporal changes in global stock markets during COVID-19: an analysis of dynamic networks

Maxwell’s Demon and Information Theory in Market Efficiency: A Brillouin’s Perspective

A novel entanglement functions-based 4D fractional-order chaotic system and its bifurcation analysis

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