Evidence of Intraday Multifractality in Bric Stock Markets: An Econophysics Approach

Abstract

The pandemic outbreak (Covid-19) has affected the global economy, and the impact on financial markets seems inevitable. In view of these events, this essay intends to analyse the efficiency, in its weak form, in the BRIC markets, namely the stock indexes of Brazil (BRAZIL IBOVESPA), China (Shanghai Stock Exchange), India (S&P BSE SENSEX), Russia (MOEX Russia). The data are intraday (1 hour), from May 2019 to May 2020; to obtain more robust results, we divided the sample into time scales up to 5 days (Period I), and above 10 days (Period II), in a complementary way, and we use the opening and closing prices to estimate the adjustment time of each market. The results indicate that the BRIC markets have significant persistence (over 10 days), which may jeopardize market efficiency, in its weak form. On the other hand, the low initial correlation in certain stock indexes may create some arbitrage opportunities. However, our study did not analyse anomalous meturns in these financial markets. These conclusions also open space for market regulators to take measures to ensure better information between these markets and international ones.