The footprints of COVID-19 on Central Eastern European stock markets: an intraday analysis

被引：17

作者：

Aslam, Faheem ^{[1
]}

Nogueiro, Francisca ^{[2
]}

Brasil, Mariana ^{[2
]}

Ferreira, Paulo ^{[2
,3
,4
]}

Mughal, Khurram Shahzad ^{[5
]}

Bashir, Beenish ^{[1
]}

Latif, Saima ^{[1
]}

机构：

[1] Comsats Univ, Dept Management Sci, Islamabad, Pakistan

[2] Inst Politecn Portalegre, Dept Ciencias Econ & Org, Portalegre, Portugal

[3] VALORIZA Res Ctr Endogenous Resource Valorizat, Portalegre, Portugal

[4] Univ Evora, Lifa, Cefage Ue, Evora, Portugal

[5] State Bank Pakistan, Karachi, Pakistan

来源：

POST-COMMUNIST ECONOMIES | 2021年 / 33卷 / 06期

关键词：

Covid-19; efficiency; high-frequency data; multifractality; stock markets; HURST EXPONENT; MULTIFRACTAL PROPERTIES; TIME-SERIES; EFFICIENCY; VOLATILITY; DEPENDENCIES; SSEC;

D O I：

10.1080/14631377.2020.1827202

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study analyses the intraday multifractal behaviour of three Central Eastern European stock markets by deploying five-minute index data ranging from December 2019 to May 2020. With the analysis of multifractality, we can evaluate the degree of efficiency of the stock markets analysed. We divided the whole sample into three different periods of about two months each. Data for the Czech Republic, Hungary and Poland are used and their behaviour is compared with Germany (as a benchmark of the European Union) and Italy and Spain (as the most affected countries by Covid-19 in Europe). For the analysis, we employ multifractal detrended fluctuation analysis after using seasonal-trend decompositions using the loess method. The results confirm that the degree of multifractality varies in the different periods, with increasing multifractality in February-March and a recovery in April-May. Furthermore, the behaviour of these stock markets shifted from persistent to anti-persistent.

引用

页码：751 / 769

页数：19

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