EVIDENCE OF INTRADAY MULTIFRACTALITY IN BRIC STOCK MARKETS: AN ECONOPHYSICS APPROACH

Paula HeliodoroRui Dias

Abstract

The pandemic outbreak (Covid-19) has affected the global economy, and the impact on financial markets seems inevitable. In view of these events, this essay intends to analyse the efficiency, in its weak form, in the BRIC markets, namely the stock indexes of Brazil (BRAZIL IBOVESPA), China (Shanghai Stock Exchange), India (S&P BSE SENSEX), Russia (MOEX Russia). The data are intraday (1 hour), from May 2019 to May 2020; to obtain more robust results, we divided the sample into time scales up to 5 days (Period I), and above 10 days (Period II), in a complementary way, and we use the opening and closing prices to estimate the adjustment time of each market. The results indicate that the BRIC markets have significant persistence (over 10 days), which may jeopardize market efficiency, in its weak form. On the other hand, the low initial correlation in certain stock indexes may create some arbitrage opportunities. However, our study did not analyse anomalous meturns in these financial markets. These conclusions also open space for market regulators to take measures to ensure better information between these markets and international ones.

Trending Feeds

COVID-19

Coronaviruses encompass a large family of viruses that cause the common cold as well as more serious diseases, such as the ongoing outbreak of coronavirus disease 2019 (COVID-19; formally known as 2019-nCoV). Coronaviruses can spread from animals to humans; symptoms include fever, cough, shortness of breath, and breathing difficulties; in more severe cases, infection can lead to death. This feed covers recent research on COVID-19.

STING Receptor Agonists

Stimulator of IFN genes (STING) are a group of transmembrane proteins that are involved in the induction of type I interferon that is important in the innate immune response. The stimulation of STING has been an active area of research in the treatment of cancer and infectious diseases. Here is the latest research on STING receptor agonists.

Chronic Fatigue Syndrome

Chronic fatigue syndrome is a disease characterized by unexplained disabling fatigue; the pathology of which is incompletely understood. Discover the latest research on chronic fatigue syndrome here.

Hereditary Sensory Autonomic Neuropathy

Hereditary Sensory Autonomic Neuropathies are a group of inherited neurodegenerative disorders characterized clinically by loss of sensation and autonomic dysfunction. Here is the latest research on these neuropathies.

Spatio-Temporal Regulation of DNA Repair

DNA repair is a complex process regulated by several different classes of enzymes, including ligases, endonucleases, and polymerases. This feed focuses on the spatial and temporal regulation that accompanies DNA damage signaling and repair enzymes and processes.

Glut1 Deficiency

Glut1 deficiency, an autosomal dominant, genetic metabolic disorder associated with a deficiency of GLUT1, the protein that transports glucose across the blood brain barrier, is characterized by mental and motor developmental delays and infantile seizures. Follow the latest research on Glut1 deficiency with this feed.

Separation Anxiety

Separation anxiety is a type of anxiety disorder that involves excessive distress and anxiety with separation. This may include separation from places or people to which they have a strong emotional connection with. It often affects children more than adults. Here is the latest research on separation anxiety.

KIF1A Associated Neurological Disorder

KIF1A associated neurological disorder (KAND) is a rare neurodegenerative condition caused by mutations in the KIF1A gene. KAND may present with a wide range and severity of symptoms including stiff or weak leg muscles, low muscle tone, a lack of muscle coordination and balance, and intellectual disability. Find the latest research on KAND here.

Regulation of Vocal-Motor Plasticity

Dopaminergic projections to the basal ganglia and nucleus accumbens shape the learning and plasticity of motivated behaviors across species including the regulation of vocal-motor plasticity and performance in songbirds. Discover the latest research on the regulation of vocal-motor plasticity here.

© 2021 Meta ULC. All rights reserved