Coronavirus

Context (archaeology)

2019-20 coronavirus outbreak

Volatility (finance)

Stock (firearms)

Statistics

Stock market

Virology

Archaeology

Economics

Severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2)

Outbreak

Coronavirus disease 2019 (COVID-19)

Fractal

Mathematics

Geography

Econometrics

Infectious disease (medical specialty)

Internal medicine

Mathematical analysis

Financial economics

Medicine

Pandemic

Stock market index

Hurst exponent

Disease

Multifractal system

International Journal of Financial Studies

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.

Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak