The footprints of COVID-19 on Central Eastern European stock markets: an intraday analysis

Abstract

This study analyses the intraday multifractal behaviour of three Central Eastern European stock markets by deploying five-minute index data ranging from December 2019 to May 2020. With the analysis of multifractality, we can evaluate the degree of efficiency of the stock markets analysed. We divided the whole sample into three different periods of about two months each. Data for the Czech Republic, Hungary and Poland are used and their behaviour is compared with Germany (as a benchmark of the European Union) and Italy and Spain (as the most affected countries by Covid-19 in Europe). For the analysis, we employ multifractal detrended fluctuation analysis after using seasonal-trend decompositions using the loess method. The results confirm that the degree of multifractality varies in the different periods, with increasing multifractality in February-March and a recovery in April-May.

Herding behavior during the Covid-19 pandemic: a comparison between Asian and European stock markets based on intraday multifractality

“…European countries are greatly affected by the first and second waves of Covid-19, compared to Asia, and herding behavior can also be seen in the second quarter. However, Spain is the most affected country in Europe and herding behavior is evident in all quarters except for the first, which is in line with the results of Aslam et al ( 2020e ).…”

“…We find a growing number of studies on the financial impacts of the Covid-19 pandemic. Recently, various themes have been developed, including financial networks (Aslam et al, 2020c ; Zhang et al, 2020 ), stock market reactions (Aslam et al 2020e , 2021 ; Haroon & Rizvi, 2020 ; Zhang et al, 2020 ), exchange rate fluctuation during the pandemic (Aslam et al, 2020b ; Njindan Iyke, 2020 ), oil market reactions (Apergis & Apergis, 2020 ; Devpura & Narayan, 2020 ), air quality performance and multifractality (Ming et al, 2020 ; Sipra et al, 2021 ), insurance (Wang et al, 2020 ) and gold and cryptocurrencies (Corbet et al, 2020 ). The Covid-19 pandemic has also affected the efficiency of different financial markets.…”

“…For instance, the intraday efficiency of European stock markets (Aslam et al, 2020d ) and exchange rate markets (Aslam et al, 2020b ) declined during the Covid-19 outbreak. Furthermore, Aslam et al ( 2020e ) reported that stock market efficiency varies with the evolution of Covid-19, with decreasing efficiency in February–March (2020) and a recovery in April–May (2020). Also, in the context of Covid-19, but applying the DCCA or its variants, Wang et al ( 2020 ) showed the impact of Covid-19 on agricultural commodities, with an increase in the cross-correlations, while Chakrabarti et al ( 2021 ) and Okorie and Lin ( 2021 ) find evidence of contagion effects in stock markets.…”

How and What Influences from COVID-19 Have Impacted Stock Prices and Exchange Rates? the Case of Japan

“…Yong-Ming, Jais, and Chan (2020) showed that higher numbers of COVID-19 cases in Malaysia promoted negative impact on the KLCI index and all sectorial indices, except for the Real Estate Investment Fund (REIT). Faheem, Francisca, Mariana, Paulo, and Mughal (2021) demonstrated that the degree of multifractality changes in the different time periods, moreover, the behavior of these stock markets changed from persistent to anti-persistent ones. Gurmeet and Muneer (2021) suggested that there was a significant impact of COVID-19 on world stock markets, however, the impact is varied for developed and emerging countries.…”

Modeling Dynamic Multifractal Efficiency of US Electricity Market

“…Researchers have applied MFDFA in a variety of financial time series such as stock markets [42][43][44][45], foreign exchanges [46,47], cryptocurrency market [48,49], gold [50], futures market [51,52], green bonds [53], and the carbon emission trading market [54]. For example, Aslam et al [43] used MFDFA to examine the multifractal characteristics of MSCI in emerging Asian markets.…”