Brazilian stock-market efficiency before and after COVID-19: The roles of fractality and predictability
Author
Abstract
Suggested Citation
DOI: 10.1016/j.gfj.2023.100887
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M., 2015. "Developing trading strategies based on fractal finance: An application of MF-DFA in the context of Islamic equities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 223-235.
- Rizvi, Syed Aun R. & Arshad, Shaista, 2017. "Analysis of the efficiency–integration nexus of Japanese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 470(C), pages 296-308.
- Michael C. Munnix & Takashi Shimada & Rudi Schafer & Francois Leyvraz Thomas H. Seligman & Thomas Guhr & H. E. Stanley, 2012. "Identifying States of a Financial Market," Papers 1202.1623, arXiv.org.
- Mensi, Walid & Hamdi, Atef & Shahzad, Syed Jawad Hussain & Shafiullah, Muhammad & Al-Yahyaee, Khamis Hamed, 2018. "Modeling cross-correlations and efficiency of Islamic and conventional banks from Saudi Arabia: Evidence from MF-DFA and MF-DXA approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 576-589.
- Benjamin Miranda Tabak, 2003.
"The random walk hypothesis and the behaviour of foreign capital portfolio flows: the Brazilian stock market case,"
Applied Financial Economics, Taylor & Francis Journals, vol. 13(5), pages 369-378.
- Benjamin Miranda Tabak, 2002. "The Random Walk Hypothesis and the Behavior of Foreign Capital Portfolio Flows: the Brazilian Stock Market Case," Working Papers Series 58, Central Bank of Brazil, Research Department.
- Alexeev, Vitali & Tapon, Francis, 2011.
"Testing weak form efficiency on the Toronto Stock Exchange,"
Journal of Empirical Finance, Elsevier, vol. 18(4), pages 661-691, September.
- Vitali Alexeev & Francis Tapon, 2010. "Testing Weak Form Efficiency on the Toronto Stock Exchange," Working Papers 1002, University of Guelph, Department of Economics and Finance.
- Mnif, Emna & Jarboui, Anis & Mouakhar, Khaireddine, 2020. "How the cryptocurrency market has performed during COVID 19? A multifractal analysis," Finance Research Letters, Elsevier, vol. 36(C).
- Zhuang, Xiaoyang & Wei, Yu & Ma, Feng, 2015. "Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 430(C), pages 101-113.
- Lin, Xiaoqiang & Fei, Fangyu & Wang, Yudong, 2011. "Analysis of the efficiency of the Shanghai stock market: A volatility perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3486-3495.
- Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "Efficiency of Thai stock markets: Detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 204-209.
- Cheng, Qing & Liu, Xinyuan & Zhu, Xiaowu, 2019. "Cryptocurrency momentum effect: DFA and MF-DFA analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 526(C).
- Metghalchi, Massoud & Chen, Chien-Ping & Hayes, Linda A., 2015. "History of share prices and market efficiency of the Madrid general stock index," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 178-184.
- Wang, Juan & Zhang, Dongxiang & Zhang, Jian, 2015. "Mean reversion in stock prices of seven Asian stock markets: Unit root test and stationary test with Fourier functions," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 157-164.
- Oświe¸cimka, P. & Kwapień, J. & Drożdż, S., 2005. "Multifractality in the stock market: price increments versus waiting times," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 347(C), pages 626-638.
- Ali, Sajid & Shahzad, Syed Jawad Hussain & Raza, Naveed & Al-Yahyaee, Khamis Hamed, 2018. "Stock market efficiency: A comparative analysis of Islamic and conventional stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 139-153.
- Schell, Daniel & Wang, Mei & Huynh, Toan Luu Duc, 2020. "This time is indeed different: A study on global market reactions to public health crisis," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
- Cajueiro, Daniel O. & Tabak, Benjamin M., 2005. "Testing for time-varying long-range dependence in volatility for emerging markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 346(3), pages 577-588.
- Al-Yahyaee, Khamis Hamed & Mensi, Walid & Yoon, Seong-Min, 2018. "Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets," Finance Research Letters, Elsevier, vol. 27(C), pages 228-234.
- Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Mensi, Walid & Kumar, Ronald Ravinesh, 2017. "Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 351-363.
- Sánchez-Granero, M.A. & Balladares, K.A. & Ramos-Requena, J.P. & Trinidad-Segovia, J.E., 2020. "Testing the efficient market hypothesis in Latin American stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Bley, Jorg, 2011. "Are GCC stock markets predictable?," Emerging Markets Review, Elsevier, vol. 12(3), pages 217-237, September.
- Wang, Yudong & Liu, Li & Gu, Rongbao & Cao, Jianjun & Wang, Haiyan, 2010. "Analysis of market efficiency for the Shanghai stock market over time," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(8), pages 1635-1642.
- Mubariz Hasanov & Tolga Omay, 2007. "Are the Transition Stock Markets Efficient? Evidence from Non-Linear Unit Root Tests," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 7(2), pages 1-12.
- Lin, Qi, 2018. "Technical analysis and stock return predictability: An aligned approach," Journal of Financial Markets, Elsevier, vol. 38(C), pages 103-123.
- Bai, Man-Ying & Zhu, Hai-Bo, 2010. "Power law and multiscaling properties of the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1883-1890.
- Al-Yahyaee, Khamis Hamed & Mensi, Walid & Ko, Hee-Un & Yoon, Seong-Min & Kang, Sang Hoon, 2020. "Why cryptocurrency markets are inefficient: The impact of liquidity and volatility," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- He, Shanshan & Wang, Yudong, 2017. "Revisiting the multifractality in stock returns and its modeling implications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 11-20.
- Horta, Paulo & Lagoa, Sérgio & Martins, Luís, 2014. "The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 140-153.
- Mensi, Walid & Sensoy, Ahmet & Vo, Xuan Vinh & Kang, Sang Hoon, 2020. "Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices," Resources Policy, Elsevier, vol. 69(C).
- Cajueiro, Daniel O & Tabak, Benjamin M, 2004. "The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(3), pages 521-537.
- Zhu, Huijian & Zhang, Weiguo, 2018. "Multifractal property of Chinese stock market in the CSI 800 index based on MF-DFA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 497-503.
- Matteo, T. Di & Aste, T. & Dacorogna, Michel M., 2005.
"Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development,"
Journal of Banking & Finance, Elsevier, vol. 29(4), pages 827-851, April.
- T. Di Matteo & T. Aste & M. M. Dacorogna, 2004. "Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development," Papers cond-mat/0403681, arXiv.org.
- T. Di Matteo & T. Aste & Michel M. Dacorogna, 2005. "Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development," Econometrics 0503004, University Library of Munich, Germany.
- Hyndman, Rob J. & Koehler, Anne B., 2006.
"Another look at measures of forecast accuracy,"
International Journal of Forecasting, Elsevier, vol. 22(4), pages 679-688.
- Rob J. Hyndman & Anne B. Koehler, 2005. "Another Look at Measures of Forecast Accuracy," Monash Econometrics and Business Statistics Working Papers 13/05, Monash University, Department of Econometrics and Business Statistics.
- Han, Chenyu & Wang, Yiming & Ning, Ye, 2019. "Comparative analysis of the multifractality and efficiency of exchange markets: Evidence from exchange rates dynamics of major world currencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
- E. Mnif & A. Jarboui & K. Mouakhar, 2020. "How the Cryptocurrency Market Has Performed during COVID 19? A Multifractal Analysis," Post-Print hal-04457136, HAL.
- Syed Aun R. Rizvi & Shaista Arshad, 2016. "How does crisis affect efficiency? An empirical study of East Asian markets," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(1), pages 1-8, March.
- Ben Rejeb, Aymen & Boughrara, Adel, 2013. "Financial liberalization and stock markets efficiency: New evidence from emerging economies," Emerging Markets Review, Elsevier, vol. 17(C), pages 186-208.
- Holt, Charles C., 2004. "Author's retrospective on 'Forecasting seasonals and trends by exponentially weighted moving averages'," International Journal of Forecasting, Elsevier, vol. 20(1), pages 11-13.
- Pesaran, M Hashem & Timmermann, Allan, 1995. "Predictability of Stock Returns: Robustness and Economic Significance," Journal of Finance, American Finance Association, vol. 50(4), pages 1201-1228, September.
- Cepoi, Cosmin-Octavian, 2020. "Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil," Finance Research Letters, Elsevier, vol. 36(C).
- Pasquini, Michele & Serva, Maurizio, 1999. "Multiscale behaviour of volatility autocorrelations in a financial market," Economics Letters, Elsevier, vol. 65(3), pages 275-279, December.
- Mensi, Walid & Lee, Yun-Jung & Vinh Vo, Xuan & Yoon, Seong-Min, 2021. "Does oil price variability affect the long memory and weak form efficiency of stock markets in top oil producers and oil Consumers? Evidence from an asymmetric MF-DFA approach," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Dadan Rahadian & Anisah Firli & Hasan Dinçer & Serhat Yüksel & Alexey Mikhaylov, 2025. "Analysing the financial innovation-based characteristics of stock market efficiency using fuzzy decision-making technique," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-17, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Maciel, Leandro, 2021. "A new approach to portfolio management in the Brazilian equity market: Does assets efficiency level improve performance?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 38-56.
- Ali, Sajid & Shahzad, Syed Jawad Hussain & Raza, Naveed & Al-Yahyaee, Khamis Hamed, 2018. "Stock market efficiency: A comparative analysis of Islamic and conventional stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 139-153.
- Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Mensi, Walid & Kumar, Ronald Ravinesh, 2017. "Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 351-363.
- Choi, Sun-Yong, 2021. "Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
- Aloui, Chaker & Shahzad, Syed Jawad Hussain & Jammazi, Rania, 2018. "Dynamic efficiency of European credit sectors: A rolling-window multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 337-349.
- Naeem, Muhammad Abubakr & Farid, Saqib & Ferrer, Román & Shahzad, Syed Jawad Hussain, 2021. "Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis," Energy Policy, Elsevier, vol. 153(C).
- Lee, Min-Jae & Choi, Sun-Yong, 2024. "Insights into the dynamics of market efficiency spillover of financial assets in different equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 641(C).
- Gu, Rongbao & Xiong, Wei & Li, Xinjie, 2015. "Does the singular value decomposition entropy have predictive power for stock market? — Evidence from the Shenzhen stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 439(C), pages 103-113.
- Shahzad, Syed Jawad Hussain & Bouri, Elie & Kayani, Ghulam Mujtaba & Nasir, Rana Muhammad & Kristoufek, Ladislav, 2020. "Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
- Mensi, Walid & Tiwari, Aviral Kumar & Yoon, Seong-Min, 2017. "Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 135-146.
- Sensoy, Ahmet & Tabak, Benjamin M., 2016. "Dynamic efficiency of stock markets and exchange rates," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 353-371.
- Deniz Erer & Elif Erer & Selim Güngör, 2023. "The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-25, December.
- Diniz-Maganini, Natalia & Diniz, Eduardo H. & Rasheed, Abdul A., 2021. "Bitcoin’s price efficiency and safe haven properties during the COVID-19 pandemic: A comparison," Research in International Business and Finance, Elsevier, vol. 58(C).
- Arshad, Shaista & Rizvi, Syed Aun R. & Ghani, Gairuzazmi Mat & Duasa, Jarita, 2016. "Investigating stock market efficiency: A look at OIC member countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 402-413.
- Bouoiyour, Jamal & Selmi, Refk & Wohar, Mark E., 2018.
"Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis,"
Finance Research Letters, Elsevier, vol. 26(C), pages 100-105.
- Jamal Bouoiyour & Refk Selmi & Mark Wohar, 2018. "Are Islamic Stock Markets Efficient? A Multifractal Detrended Fluctuation Analysis," Post-Print hal-01879668, HAL.
- Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu & Yoon, Seong-Min, 2017. "A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 182-192.
- Tiwari, Aviral Kumar & Aye, Goodness C. & Gupta, Rangan, 2019.
"Stock market efficiency analysis using long spans of Data: A multifractal detrended fluctuation approach,"
Finance Research Letters, Elsevier, vol. 28(C), pages 398-411.
- Aviral Kumar Tiwari & Goodness C. Aye & Rangan Gupta, 2018. "Stock Market Efficiency Analysis using Long Spans of Data: A Multifractal Detrended Fluctuation Approach," Working Papers 201824, University of Pretoria, Department of Economics.
- Ma, Pengcheng & Li, Daye & Li, Shuo, 2016. "Efficiency and cross-correlation in equity market during global financial crisis: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 163-176.
- Ashok Chanabasangouda Patil & Shailesh Rastogi, 2020. "Multifractal Analysis of Market Efficiency across Structural Breaks: Implications for the Adaptive Market Hypothesis," JRFM, MDPI, vol. 13(10), pages 1-18, October.
- Lee, Minhyuk & Song, Jae Wook & Kim, Sondo & Chang, Woojin, 2018. "Asymmetric market efficiency using the index-based asymmetric-MFDFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 1278-1294.
More about this item
Keywords
Price efficiency; stock markets; Multifractal detrended fluctuation analysis; Forecasting; COVID-19 pandemic;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323000820. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620162 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.