Fractal analysis of market (in)efficiency during the COVID-19

Frezza, Massimiliano; Bianchi, Sergio; Pianese, Augusto

doi:10.1016/j.frl.2020.101851

Cited by 39 publications

(21 citation statements)

References 32 publications

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“…The COVID-19 pandemic deeply affects global economy activities ( Janiak et al., 2021 ; Tisdell, 2020 ; Yang et al., 2021 ). Governments have released many precautionary measures (such as city lockdown, flight ban and work suspension) to prevent the further spread of the COVID-19 epidemic, which result in heavy global economy recession and huge fluctuations in international stock markets ( Contessi and De Pace, 2021 ; Frezza et al., 2021 ), as well as stronger market risk contagion (spillover effects) among them ( Davidovic, 2021 ; Wei et al., 2019 ).…”

Section: Introductionmentioning

confidence: 99%

International stock market risk contagion during the COVID-19 pandemic

Liu

Wei

Wang

et al. 2022

Finance Research Letters

128

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Section: Introductionmentioning

confidence: 99%

International stock market risk contagion during the COVID-19 pandemic

Liu

Wei

Wang

et al. 2022

Finance Research Letters

128

View full text Add to dashboard Cite

“…In the work of M. Frezza, S. Bianchi and A. Pianese [15], the authors use the fractal analysis capabilities to track propagation waves of the COVID-19 crisis. In the work of M. Karpiarz, P. Fronczak and A. Fronczak [16], the fractal analysis was used to interpret the distance coefficient in the distance of the gravity model.…”

Section: Literature Reviewmentioning

confidence: 99%

Assessment of factors influencing the stability of Ukrainian export based on the fractal analysis

Kainara

Калюжна

2021

SHS Web Conf.

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The article considered the assessment of the sustainability of the export flow of Ukraine. It was determined that the markets of Slovakia, the Russian Federation, Germany, Poland and Lithuania possess longterm memory. Also, the main factors that affect the sustainability of export have been analyzed. Among cultural factors, a weak correlation was demonstrated by Long Term Orientation, Indulgence and Power Distance according to the Geert Hofstede method. At the same time, the cultural patterns according to the S. H. Schwartz method did not show a correlation with the long-term memory of product export. On the stability of the export flow, the role of the linguistic distance and the factor of the diaspora presence have been assessed. It was proved that the gravitational effect has the greatest impact on the stability of export; Power Distance, linguistic distance and the factor of the diaspora presence have the negligible impact as well.

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“…Stock markets worldwide have suffered significant losses since the outbreak of the pandemic. For example, the Dow Jones Industrial Average, FTSE, and the S&P 500 lost 20-25% of their value (Frezza et al 2021). These figures were "topped" by Germany's DAX, which experienced a 36% loss.…”

Section: Introductionmentioning

confidence: 99%

Bank Stock Return Reactions to the COVID-19 Pandemic: The Role of Investor Sentiment in MENA Countries

Albaity

Mallek

Mustafa

2022

Risks

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In this study, we investigated the impact of COVID-19 investor sentiment (CS), number of cases (CC), and deaths (CD) on bank stock returns in 16 MENA countries. In addition, we examined the interaction effects of CS with CC and CD on bank stock returns. Lastly, we looked at whether Islamic banks outperformed conventional banks during the pandemic. Based on monthly data from the Middle East and North Africa (MENA) countries from February 2020 to July 2021, we used the clustered standard error fixed effect estimation on Islamic and conventional bank stock market returns. The results suggest that CC and CD have negative impacts on bank stock market returns while CS has no effect, except for the lagged value. The interaction effect of CS with CC and CD on stock returns proved to strengthen the link in the current month and weaken the link in the previous month.

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Fractal analysis of market (in)efficiency during the COVID-19

Cited by 39 publications

References 32 publications

International stock market risk contagion during the COVID-19 pandemic

International stock market risk contagion during the COVID-19 pandemic

Assessment of factors influencing the stability of Ukrainian export based on the fractal analysis

Bank Stock Return Reactions to the COVID-19 Pandemic: The Role of Investor Sentiment in MENA Countries

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