EFFECTS OF COVID-19 ON CHINESE SECTORAL INDICES: A MULTIFRACTAL ANALYSIS-Reference-Cited by-同舟云学术

EFFECTS OF COVID-19 ON CHINESE SECTORAL INDICES: A MULTIFRACTAL ANALYSIS

Published:2021-10-02 Issue:07 Volume:29 Page:
ISSN:0218-348X
Container-title:Fractals
language:en
Short-container-title:Fractals

Author:

DE ARAÚJO FERNANDO H. A.¹,FERNANDES LEONARDO H. S.²,TABAK BENJAMIN M.³

Affiliation:

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

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

3. 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.

Funder

CNPq foundation

Publisher

World Scientific Pub Co Pte Ltd

Subject

Applied Mathematics,Geometry and Topology,Modeling and Simulation

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0218348X2150198X

Reference31 articles.

1. Empirical properties of inter-cancellation durations in the Chinese stock market

2. MULTIFRACTALS IN WESTERN MAJOR STOCK MARKETS HISTORICAL VOLATILITIES IN TIMES OF FINANCIAL CRISIS

3. Non-linear characterization and trend identification of liquidity in China's new OTC stock market based on multifractal detrended fluctuation analysis