The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis

Financial Innovation

Research

Deniz Erer¹  Selim Güngör²  Elif Erer³ 

[1] Independent Researcher, Izmir, Turkey;Resadiye Vocational School, Tokat Gaziosmanpasa University, Tokat, Turkey;School of Applied Sciences, Manisa Celal Bayar University, Manisa, Turkey;

关键词: MF-DFA;    Adaptive market hypothesis;    Global financial crisis;    COVID-19 outbreak;    Sectoral indices;    C58;    G14;    E44;   

DOI  :  10.1186/s40854-023-00484-4

 received in 2022-03-09, accepted in 2023-03-20,  发布年份 2023

来源: Springer

【 摘 要 】

This study aims to examine the time-varying efficiency of the Turkish stock market’s major stock index and eight sectoral indices, including the industrial, financial, service, information technology, basic metals, tourism, real estate investment, and chemical petrol plastic, during the COVID-19 outbreak and the global financial crisis (GFC) within the framework of the adaptive market hypothesis. This study employs multifractal detrended fluctuation analysis to illustrate these sectors’ multifractality and short- and long-term dependence. The results show that all sectoral returns have greater persistence during the COVID-19 outbreak than during the GFC. Second, the real estate and information technology industries had the lowest levels of efficiency during the GFC and the COVID-19 outbreak. Lastly, the fat-tailed distribution has a greater effect on multifractality in these industries. Our results validate the conclusions of the adaptive market hypothesis, according to which arbitrage opportunities vary over time, and contribute to policy formulation for future outbreak-induced economic crises.

【 授权许可】

CC BY   
© The Author(s) 2023

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