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Effects Of Covid-19 On Chinese Sectoral Indices: A Multifractal Analysis

Author

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  • FERNANDO H. A. DE ARAÚJO

    (Department of Statistics and Informatics, Federal Rural University of Pernambuco, Recife, PE 52171-900, Brazil)

  • LEONARDO H. S. FERNANDES

    (Department of Economics and Informatics, Federal Rural University of Pernambuco, Serra Talhada, PE 56909-535, Brazil)

  • BENJAMIN M. TABAK

    (School of Public Policy and Government, Getulio Vargas Foundation (EPPG/FGV), Brasilia, DF, Brazil)

Abstract

In this paper, we analyze 26 Chinese sectoral indices and evaluate the effects of the crisis caused by COVID-19 on its efficiency. We calculated the degree of multifractality in the pre- and post-COVID-19 period and found that it increases, albeit unevenly, for the economic sectors. The results suggest that global crises can affect the efficiency of the stock markets in an unequal way, with important implications for portfolio management, risk management, financial regulation and the development of predictive models.

Suggested Citation

  • Fernando H. A. De Araãšjo & Leonardo H. S. Fernandes & Benjamin M. Tabak, 2021. "Effects Of Covid-19 On Chinese Sectoral Indices: A Multifractal Analysis," FRACTALS (fractals), World Scientific Publishing Co. Pte. Ltd., vol. 29(07), pages 1-13, November.
    • Handle: RePEc:wsi:fracta:v:29:y:2021:i:07:n:s0218348x2150198x
    DOI: 10.1142/S0218348X2150198X
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    Cited by:

    1. Fernandes, Leonardo H.S. & Silva, José W.L. & de Araujo, Fernando H.A., 2022. "Multifractal risk measures by Macroeconophysics perspective: The case of Brazilian inflation dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 158(C).
    2. Saâdaoui, Foued, 2023. "Skewed multifractal scaling of stock markets during the COVID-19 pandemic," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).
    3. Fernandes, Leonardo H.S. & Silva, José W.L. & de Araujo, Fernando H.A. & Ferreira, Paulo & Aslam, Faheem & Tabak, Benjamin Miranda, 2022. "Interplay multifractal dynamics among metal commodities and US-EPU," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 606(C).

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