Covid-19 Influence Over Brazilian Agricultural Commodities and Dollar–real Exchange

Abstract

This study evaluates the Brazilian agricultural commodities market and the dollar–real exchange price variation using the multifractal detrended fluctuations analysis methodology. We investigated the period from January 1, 2019 to September 25, 2019, outside the COVID-19 pandemic, and from January 1, 2020 to September 25, 2020, during the COVID-19 pandemic. We verified the fluctuations of commodities and dollar–real exchange prices during the pandemic caused by COVID-19 showed a record price. The results of Hurst exponent and multifractal parameters [Formula: see text], [Formula: see text], and [Formula: see text] indicate that during the COVID-19 pandemic, sugar was the most efficient commodity, while pork the less one. Compared to the identical months in 2019, the dollar–real exchange was the most efficient market, while ethanol was the least efficient.

The Impact of COVID-19 on BRICS and MSCI Emerging Markets Efficiency: Evidence from MF-DFA

“…Further, investors can make informed decisions by examining the multifractal properties of different markets to find stock market predictability. Prior studies show the existence of predictable price patterns, which can be exploited to generate abnormal profits (see, e.g., [51][52][53][54]). Hence, multifractality features, which can distinguish between market efficiency and lack thereof, can be incorporated into trading algorithms to enhance entry/exit points.…”