2020/07/21 by Ayoub Ammy-Driss, Matthieu Garcin, Ammy-Driss, Ayoub +1 · 3 citations
Economics, Econometrics and Finance · #Applications (stat.AP) #COVID-19 Pandemic Impacts #Complex Systems and Time Series Analysis #FOS: Computer and information sciences #FOS: Economics and business #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #General Finance (q-fin.GN) #Market Dynamics and Volatility #Methodology (stat.ME) #Statistical Finance (q-fin.ST)
paper · pdf · doi:10.48550/arxiv.2007.10727
openalex publication_date 2020/07/21 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper investigates the impact of COVID-19 on financial markets. It focuses on the evolution of the market efficiency, using two efficiency indicators: the Hurst exponent and the memory parameter of a fractional Lévy-stable motion. The second approach combines, in the same model of dynamic, an alpha-stable distribution and a dependence structure between price returns. We provide a dynamic estimation method for the two efficiency indicators. This method introduces a free parameter, the discount factor, which we select so as to get the best alpha-stable density forecasts for observed price returns. The application to stock indices during the COVID-19 crisis shows a strong loss of efficiency for US indices. On the opposite, Asian and Australian indices seem less affected and the inefficiency of these markets during the COVID-19 crisis is even questionable.