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Are rare earth stocks efficient? Novel insights using asymmetric MF-DFA

Author

Listed:
  • Pengbo Wan

    (Hubei University of Economics
    Hubei University of Economics)

  • Ghulam Mujtaba

    (York St John University
    York St John University)

  • Saira Ashfaq

    (York St John University
    York St John University
    University of Shanghai for Science & Technology)

  • Song Liangrong

    (University of Shanghai for Science & Technology)

  • Rana Muhammad Nasir

    (University of Science & Technology)

Abstract

This study investigates the weak-form efficiency and asymmetric multifractal scaling behavior of rare earth stock indices in the global, U.S. and Chinese markets during the trade war and the COVID-19 period. We examine the scaling behavior across overall, upward (bullish), and downward (bearish) market states from 2013 to 2021, employing an asymmetric multifractal detrended fluctuation analysis approach. Our findings indicate asymmetric multifractality in U.S. rare earth stock prices, caused by fat tails and long-range correlations. Weak-form price inefficiency and asymmetry in U.S. rare earth stock prices are prominent during market downturns, such as the trade war and COVID-19 periods. Chinese rare earth stocks demonstrate greater efficiency than U.S. and global stocks; thus, the latter markets provide arbitrage opportunities during upward and downward trends.

Suggested Citation

  • Pengbo Wan & Ghulam Mujtaba & Saira Ashfaq & Song Liangrong & Rana Muhammad Nasir, 2025. "Are rare earth stocks efficient? Novel insights using asymmetric MF-DFA," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-17, December.
    • Handle: RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00744-x
    DOI: 10.1186/s40854-024-00744-x
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