كنفرانس بين المللی مهندسی صنايع و سيستم ها

صفحه اصلی / هشتمین كنفرانس بين المللی مهندسی صنايع و سيستم ها

A Hurst exponent analysis approach for investigation of market efficiency during COVID-19 pandemic: A case study from top affected economies

نویسندگان :

Milad Kamali Alamdari¹ Ehsan Hajizadeh² Ali Fereydooni³

1- دانشگاه صنعتی امیرکبیر (پلی‌تکنیک تهران) 2- دانشگاه صنعتی امیرکبیر (پلی‌تکنیک تهران) 3- دانشگاه صنعتی امیرکبیر (پلی‌تکنیک تهران)

کلمات کلیدی :

COVID-19 outbreak،Stock market،Efficient market،Fractal Market Hypothesis،Hurst exponent analysis

چکیده :

This study aims to investigate financial market efficiency, influenced by the impact of the crisis (COVID-19) pandemic all over the world. Since the extent of markets’ information efficiency is vital to making a profit through strategic and trading actions of stock investors, catastrophic events like the recent pandemic with long-term effects have been paid attention substantially. Besides, academics and economists have studied the Efficient Market Hypothesis (EMH) for many years. Here, the rolling window Hurst exponent and the Hurst exponent based on the rescaled range (R/S) analysis are proposed to explore efficiency changes of 8 more affected stocks indexes (NYSE Composite, IBEX 35, CAC 40, DAX, HANG SENG, Bovespa, BSE Sensex 30 and MOEX) to evaluate the level of stability/instability of Markets. Ultimate findings confirm that shocks having external or internal causes can significantly affect different markets according to their conditions of economic resilience. It is also found that all the markets used in this study deviate from the market efficiency in some periods of COVID-19, and the deviation from the market efficiency is more seen in the Asian and American markets. This shows that the chance of stock price prediction and achieving abnormal returns during the COVID-19 outbreak was increasing. Accordingly, to achieve more profit in portfolio optimization with asset allocation or asset selection, similar policies can be discussed to provide the relevant basis for investors to make investment decisions.