Abstract
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 ranging from 1 January 2020 to 23 March 2020. The Hurst exponents are calculated by applying multifractal detrended fluctuation analysis (MFDFA). Overall, the results confirm the existence of multifractality in European stock markets during the COVID-19 outbreak. Furthermore, based on multifractal properties, efficiency varies among these markets. The Spanish stock market remains most efficient while the least efficient is that of Austria. Belgium, Italy and Germany remain somewhere in the middle. This far-reaching outbreak demands a comprehensive response from policy makers to improve market efficiency during such epidemics.
Highlights
This study assesses intraday multifractality in European stock markets by applying a robust physics-based statistical method
All the other European stock market results are available in the Supplementary files
This study assesses the level of efficiency of eight major European stock market indexes during the COVID-19 pandemic
Summary
This study assesses intraday multifractality in European stock markets by applying a robust physics-based statistical method. According to the World Health Organization (WHO), COVID-19 had led to more than 520,360 confirmed infected cases and 23,593 deaths in 198 countries by 27 March 2020. Besides the immediate tragedies of death and disease, indirect effects through fear are being felt around the world. Investors and exchange institutions can be understood as internal factors, while the sources of external factors are reforms and announcements by governments or some important events. Both local and global risk factors are significant. Variations in risk factors are likely to have a different effect on each country’s stock market performance
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