The evolution of stock market efficiency over time: A survey of the empirical literature
This paper provides a systematic review of the weak‐form market efficiency literature that
examines return predictability from past price changes, with an exclusive focus on the stock …
examines return predictability from past price changes, with an exclusive focus on the stock …
On the efficiency of foreign exchange markets in times of the COVID-19 pandemic
We employ multifractal detrended fluctuation analysis (MF-DFA) to provide a first look at the
efficiency of forex markets during the initial period of the ongoing coronavirus disease 2019 …
efficiency of forex markets during the initial period of the ongoing coronavirus disease 2019 …
The inefficiency of Bitcoin revisited: A dynamic approach
AF Bariviera - Economics Letters, 2017 - Elsevier
This letter revisits the informational efficiency of the Bitcoin market. In particular we analyze
the time-varying behavior of long memory of returns on Bitcoin and volatility 2011 until 2017 …
the time-varying behavior of long memory of returns on Bitcoin and volatility 2011 until 2017 …
Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic
Rapidly growing numbers of empirical papers assessing the financial effects of COVID-19
pandemic triggered an urgent need for a study summarising the existing knowledge of …
pandemic triggered an urgent need for a study summarising the existing knowledge of …
Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic
SY Choi - Physica A: Statistical Mechanics and Its Applications, 2021 - Elsevier
In this study, we test the efficient market hypothesis for a number of sectors in the US stock
market during the COVID-19 pandemic to identify its effects on individual sectors. To test this …
market during the COVID-19 pandemic to identify its effects on individual sectors. To test this …
Asymmetric causality tests with an application
A Hatemi-j - Empirical economics, 2012 - Springer
This article argues that there are several logical reasons for the existence of asymmetric
causal effects that need to be taken into account but usually are neglected in the literature. It …
causal effects that need to be taken into account but usually are neglected in the literature. It …
Stock market efficiency: A comparative analysis of Islamic and conventional stock markets
In this paper, we examine the comparative efficiency of 12 Islamic and conventional stock
markets counterparts using multifractal de-trended fluctuation analysis (MF-DFA). The full …
markets counterparts using multifractal de-trended fluctuation analysis (MF-DFA). The full …
The dynamics of market efficiency of major cryptocurrencies
The exponential growth of Fintech innovation has increased the interest in cryptocurrency
market informational efficiency given that cryptocurrencies and their underlying blockchain …
market informational efficiency given that cryptocurrencies and their underlying blockchain …
Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen?
G Gajardo, WD Kristjanpoller, M Minutolo - Chaos, Solitons & Fractals, 2018 - Elsevier
We applied MF-ADCCA to analyze the presence and asymmetry of the cross-correlations
between the major currency rates and Bitcoin, and the Dow Jones Industrial Average (DJIA) …
between the major currency rates and Bitcoin, and the Dow Jones Industrial Average (DJIA) …
[HTML][HTML] Evidence of intraday multifractality in European stock markets during the recent coronavirus (COVID-19) outbreak
This study assesses how the coronavirus pandemic (COVID-19) affects the intraday
multifractal properties of eight European stock markets by using five-minute index data …
multifractal properties of eight European stock markets by using five-minute index data …