Hurst exponent dynamics of S&amp;P 500 returns: Implications for market efficiency, long memory, multifractality and financial crises predictability by application of a nonlinear dynamics analysis framework

Vogl, Markus

doi:10.1016/j.chaos.2022.112884

Cited by 21 publications

(23 citation statements)

References 102 publications

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“…Since the price-volume relationship is likely to be timevarying as the market evolves, a rolling window technique is employed. Tis technique is widely used in fnance research [39,41,42]. Figure 4 shows its procedure [42].…”

Section: Resultsmentioning

confidence: 99%

Price-Volume Relationship in Bitcoin Futures ETF Market: An Information Perspective

Wang,

Hui

2024

Discrete Dynamics in Nature and Society

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Bitcoin futures exchange-traded funds (ETFs) are recent innovations in cryptocurrency investment. This article studies the price-volume relationship in this market from an information perspective. We first propose effective mutual information which has better estimation accuracy to analyze the contemporaneous relationship. Using half-hourly trading data of the world’s largest Bitcoin futures ETF, we find that trading volume changes and returns contain information about each other and are contemporaneously dependent. Then, we employ effective transfer entropy to examine the intertemporal relationship. The results show that there exists information transfer from volume changes to returns in most of our sample period, suggesting the presence of return predictability and market inefficiency. However, information transfer in the opposite direction occurs much less frequently, and the amount is typically smaller.

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Section: Resultsmentioning

confidence: 99%

Price-Volume Relationship in Bitcoin Futures ETF Market: An Information Perspective

Wang,

Hui

2024

Discrete Dynamics in Nature and Society

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“…Several window lengths have been used in financial literature (for a detailed overview, see for example, Vogl, 2023). According to Morales et al (2012) they should not be too large to retain sensitivity to changes in the scaling properties occurring over time.…”

Section: Methodsmentioning

confidence: 99%

When two banks fall, how do markets react?

Almeida,

Dionísio,

Ferreira

2023

Econ Bus Lett

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The most recent fall of the Silicon Valley (SVB) and Credit Suisse (CS) banks increased the fear of a worldwide banking crisis. We analyse the impacts of their fall on five financial indices. We apply detrended fluctuation analysis, static and with sliding windows. We find a higher impact of the SVB fall on the efficiency dynamic of the studied indices, which revealed fluctuating efficiency and a loss of efficiency during the period of the falls. The fall of both banks contributed to some persistence in stock indices returns. The Nasdaq and STOXX Europe 600 Banks are the most and the least efficient indices, respectively. Despite the apparent evidence of inefficiency, it might not necessarily mean a capacity for abnormal profits.

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“…The literature on financial market efficiency has been enriched by new methodologies for evaluating efficiency, notably the Hurst exponent (Hurst, 1951). The latter is considered a primary measure for detecting efficiency and long-run memory in financial time series (Corazza & Malliaris, 2002;Cajueiro & Tabak, 2005;Grech & Pamula, 2008;Onali & Goddard, 2011;Mynhardt et al, 2017;Al-Faryan & Dockery, 2021;Caporale et al, 2022;López & Mansilla, 2021;Tadoori & Vadithala, 2022;Vogl, 2023;Danila, 2022;Gómez-Águila et al, 2022;Metescu, 2022;Takaishi, 2022).…”

Section: Literature Reviewmentioning

confidence: 99%

ESG Indices Efficiency in Five MENA Countries: Application of the Hurst Exponent

Harabida¹,

Radi²,

Gueyié³

2023

TEL

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The efficient market hypothesis (EMH) is one of the main theories related to financial markets. This hypothesis is based on the idea that stock prices already reflect all available market information. In its weak form, the EMH states that future prices cannot be predicted by analyzing historical asset prices. This paper aims to test the effectiveness of environmental, social and governance (ESG) indices in the Middle East and North Africa region (MENA) and compare them with their conventional counterparts. The sample data covers the period from September 27 2018 to December 23 2021 in daily frequency. Our empirical approach is based on Hurst behavior using the R/S statistic. The results reject the market efficiency hypothesis for both ESG and conventional indices and show that these indices are significantly inefficient with persistent returns. In terms of the level of efficiency between the ESG and conventional indices, the study does not indicate significant differences.

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Hurst exponent dynamics of S&P 500 returns: Implications for market efficiency, long memory, multifractality and financial crises predictability by application of a nonlinear dynamics analysis framework

Cited by 21 publications

References 102 publications

Price-Volume Relationship in Bitcoin Futures ETF Market: An Information Perspective

Price-Volume Relationship in Bitcoin Futures ETF Market: An Information Perspective

When two banks fall, how do markets react?

ESG Indices Efficiency in Five MENA Countries: Application of the Hurst Exponent

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