How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis

2013 ◽  
Vol 392 (7) ◽  
pp. 1631-1637 ◽  
Author(s):  
Juan C. Reboredo ◽  
Miguel A. Rivera-Castro ◽  
José G.V. Miranda ◽  
Raquel García-Rubio
Keyword(s):  
Market Efficiency ◽  
Stock Prices ◽  
Detrended Fluctuation Analysis ◽  
Fluctuation Analysis ◽  
Detrended Fluctuation

THE EFFICIENCY OF SIN STOCKS: A MULTIFRACTAL ANALYSIS OF DRUG INDICES

2021 ◽  
pp. 1-22
Author(s):  
Faheem Aslam ◽  
Paulo Ferreira ◽  
Fahd Amjad ◽  
Haider Ali
Keyword(s):  
Time Series ◽  
Market Efficiency ◽  
Detrended Fluctuation Analysis ◽  
Multifractal Analysis ◽  
Fluctuation Analysis ◽  
Self Similarity ◽  
Multifractal Detrended Fluctuation Analysis ◽  
The North ◽  
Daily Data ◽  
Detrended Fluctuation

This study provides the first evidence of market efficiency of drug indices, especially cannabis and tobacco, which are known in finance as sin markets. The multifractal detrended fluctuation analysis (MFDFA) is employed on the daily data of six cannabis and one tobacco indices in order to measure efficiency by quantifying the intensity of self-similarity. The findings confirm multifractality in all sample series. Interestingly, Dow Jones Tobacco (DJUSTB) Index shows the highest multifractality, demonstrating the lowest efficiency, whereas S&P/TSX Cannabis (SPTXCAN) Index is the most efficient of all the time series under analysis, with the lowest multifractality levels. Only the North American Marijuana (NAMMAR), Cannabis World Index Gross Total Return (CANWLDGR) and DJUSTB show persistent behavior. These findings could be of interest to policymakers and regulators to establish new reforms to improve the efficiency of these markets, as well as for actual and potential investors.

scholarly journals Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak

2020 ◽  
Vol 8 (2) ◽  
pp. 31 ◽  
Author(s):  
Faheem Aslam ◽  
Wahbeeah Mohti ◽  
Paulo Ferreira
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Stock Markets ◽  
Detrended Fluctuation Analysis ◽  
Fluctuation Analysis ◽  
Policy Makers ◽  
Multifractal Detrended Fluctuation Analysis ◽  
Index Data ◽  
European Stock Markets ◽  
Detrended Fluctuation

This study assesses how the coronavirus pandemic (COVID-19) affects the intraday multifractal properties of eight European stock markets by using five-minute index data ranging from 1 January 2020 to 23 March 2020. The Hurst exponents are calculated by applying multifractal detrended fluctuation analysis (MFDFA). Overall, the results confirm the existence of multifractality in European stock markets during the COVID-19 outbreak. Furthermore, based on multifractal properties, efficiency varies among these markets. The Spanish stock market remains most efficient while the least efficient is that of Austria. Belgium, Italy and Germany remain somewhere in the middle. This far-reaching outbreak demands a comprehensive response from policy makers to improve market efficiency during such epidemics.

scholarly journals Efficiency of Asean-5 Markets: An Detrended Fluctuation Analysis

2020 ◽  
Vol 12 (2) ◽  
pp. 13-19
Author(s):  
Rui Dias ◽  
Paula Heliodoro ◽  
Paulo Alexandre
Keyword(s):  
Random Walk ◽  
Financial Markets ◽  
Stock Prices ◽  
Detrended Fluctuation Analysis ◽  
Abnormal Returns ◽  
Weak Form ◽  
The Philippines ◽  
Fluctuation Analysis ◽  
Chinese Market ◽  
Detrended Fluctuation

This study intends to analyse efficiency, in its weak form, in the financial markets of Indonesia, Malaysia, Philippines, Singapore, Thailand (ASEAN-5), and China, during the global pandemic (Covid-19). Different approaches have been undertaken to carry out this analysis in order to determine whether: (i) ASEAN-5 financial markets and China are efficient, in their weak form, during the analysis period? The results indicate that the random walk hypothesis is rejected in all markets. The values of the variance ratios are, in all cases, lower than the unit, which implies that the returns are autocorrelated over time and, there is a reversion to the average, in all indices. In corroboration, the exponents Detrended Fluctuation Analysis (DFA), indicate significant long memories with a larger incidence in the Philippines and Singapore markets, however the Chinese market evidences anti persistence. These results demonstrate that stock prices do not completely reflect the available information and that stock prices movements are not i.i.d. This has implications for investors, as some returns can be expected, creating opportunities for arbitrage and abnormal returns, contrary to the assumptions of random walk and information efficiency. These conclusions also allow market regulators to implement measures to ensure better information in these regional markets.

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