Comparative analysis of aggregate and sectoral time-varying market efficiency in the Russian stock market during the COVID-19 outbreak and the Russia–Ukraine conflict (RUC)

IF 2.7 4区 管理学 Q2 BUSINESS
Muhammad Rehan, Jahanzaib Alvi, Umair Lakhani
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Abstract

Purpose

The primary purpose of this research is to identify and compare the multifractal behavior of different sectors during these crises and analyze their implications on market efficiency.

Design/methodology/approach

We used multifractal detrended fluctuation analysis (MF-DFA) to analyze stock returns from various sectors of the Moscow Stock Exchange (MOEX) in between two significant periods. The COVID-19 pandemic (January 1, 2020, to December 31, 2021) and the Russia–Ukraine conflict (RUC) (January 1, 2022, to June 30, 2023). This method witnesses multifractality in financial time series data and tests the persistency and efficiency levels of each sector to provide meaningful insights.

Findings

Results showcased persistent multifractal behavior across all sectors in between the COVID-19 pandemic and the RUC, spotting heightened arbitrage opportunities in the MOEX. The pandemic reported a greater speculative behavior, with the telecommunication and oil and gas sectors exhibiting reduced efficiency, recommending abnormal return potential. In contrast, financials and metals and mining sectors displayed increased efficiency, witnessing strong economic performance. Findings may enhance understanding of market dynamics during crises and provide strategic insights for the MOEX’s investors.

Practical implications

Understanding the multifractal properties and efficiency of different sectors during crisis periods is of paramount importance for investors and policymakers. The identified arbitrage opportunities and efficiency variations can aid investors in optimizing their investment strategies during such critical market conditions. Policymakers can also leverage these insights to implement measures that bolster economic stability and development during crisis periods.

Originality/value

This research contributes to the existing body of knowledge by providing a comprehensive analysis of multifractal properties and efficiency in the context of the MOEX during two major crises. The application of MF-DFA to sectoral stock returns during these events adds originality to the study. The findings offer valuable implications for practitioners, researchers and policymakers seeking to navigate financial markets during turbulent times and enhance overall market resilience.

COVID-19 爆发和俄乌冲突 (RUC) 期间俄罗斯股票市场总体和部门时变市场效率的比较分析
目的本研究的主要目的是识别和比较不同行业在这些危机期间的多分形行为,并分析其对市场效率的影响。COVID-19 大流行(2020 年 1 月 1 日至 2021 年 12 月 31 日)和俄乌冲突(RUC)(2022 年 1 月 1 日至 2023 年 6 月 30 日)。结果结果显示,在 COVID-19 大流行和俄乌冲突之间,所有行业都存在持续的多分形行为,发现了 MOEX 中更多的套利机会。大流行报告了更多的投机行为,其中电信和石油天然气行业表现出效率降低,建议关注异常回报潜力。相比之下,金融、金属和采矿行业的效率有所提高,经济表现强劲。研究结果可加深对危机期间市场动态的理解,并为 MOEX 的投资者提供战略启示。实际意义了解危机期间不同行业的多分形属性和效率对投资者和政策制定者至关重要。所发现的套利机会和效率变化有助于投资者在这种关键市场条件下优化投资策略。本研究对两次重大危机期间 MOEX 的多分形属性和效率进行了全面分析,为现有知识体系做出了贡献。在这些事件中,将 MF-DFA 应用于部门股票回报的做法为本研究增添了新意。研究结果为从业人员、研究人员和政策制定者在动荡时期驾驭金融市场和增强市场整体复原力提供了宝贵的启示。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
5.90
自引率
14.80%
发文量
206
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