Pricing efficiency and asymmetric multifractality of major asset classes before and during COVID-19 crisis

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buir.contributor.authorSensoy, Ahmet
buir.contributor.orcidSensoy, Ahmet|0000-0001-7967-5171
dc.citation.epage18en_US
dc.citation.spage1en_US
dc.citation.volumeNumber62en_US
dc.contributor.authorMensi, Walid
dc.contributor.authorSensoy, Ahmet
dc.contributor.authorVo, Xuan Vinh
dc.contributor.authorKang, Sang Hoon
dc.date.accessioned2023-02-23T13:06:19Z
dc.date.available2023-02-23T13:06:19Z
dc.date.issued2022-11-10
dc.departmentBusiness Information Managementen_US
dc.description.abstractWe examine the impact of COVID-19 pandemic crisis on the pricing efficiency and asymmetric multifractality of major asset classes (S&P500, US Treasury bond, US dollar index, Bitcoin, Brent oil, and gold) within a dynamic framework. Applying permutation entropy on intraday data that covers between April 30, 2019 and May 13, 2020, we show that efficiency of all sample asset classes is deteriorated with the outbreak, and in most cases this deterioration is significant. Results are found to be robust under different analysis schemes. Brent oil is the highest efficient market before and during crisis. The degree of efficiency is heterogeneous among all markets. The analysis by an asymmetric multifractal detrended fluctuation analysis (A-MF-DFA) approach shows evidence of asymmetric multifractality in all markets which rise with the scales. The inefficiency is higher during downward trends before the pandemic crisis as well as during COVID-19 except for gold and Bitcoin. Moreover, the pandemic intensifies the inefficiency of all markets except Bitcoin. Findings reveal increased opportunities for price predictions and abnormal returns gains during the COVID-19 outbreak.en_US
dc.description.provenanceSubmitted by Cem Çağatay Akgün (cem.akgun@bilkent.edu.tr) on 2023-02-23T13:06:19Z No. of bitstreams: 1 Pricing_efficiency_and_asymmetric_multifractality_of_major_asset_classes_before_and_during_COVID-19_crisis.pdf: 6875139 bytes, checksum: a45283e45a9fb716650f0922110e5719 (MD5)en
dc.description.provenanceMade available in DSpace on 2023-02-23T13:06:19Z (GMT). No. of bitstreams: 1 Pricing_efficiency_and_asymmetric_multifractality_of_major_asset_classes_before_and_during_COVID-19_crisis.pdf: 6875139 bytes, checksum: a45283e45a9fb716650f0922110e5719 (MD5) Previous issue date: 2022-11-10en
dc.identifier.eissn1879-0860
dc.identifier.issn1062-9408
dc.identifier.urihttp://hdl.handle.net/11693/111633
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.source.titleNorth American Journal of Economics and Financeen_US
dc.subjectA-MF-DFAen_US
dc.subjectCOVID-19en_US
dc.subjectEfficient market hypothesisen_US
dc.subjectPermutation entropyen_US
dc.subjectPredictabilityen_US
dc.titlePricing efficiency and asymmetric multifractality of major asset classes before and during COVID-19 crisisen_US
dc.typeArticleen_US

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