Article ID Journal Published Year Pages File Type
7375124 Physica A: Statistical Mechanics and its Applications 2018 32 Pages PDF
Abstract
In this paper, we explore the market efficiency hypothesis for 22 European credit market sectors using the multi fractal detrended fluctuation approach (MF-DFA). The market efficiency of the credit market sectors is compare in short- and long-run horizons and for small and large fluctuations. The time-variations in the market efficiency level are captured by adopting a rolling-window framework of MF-DFA. We find that all the Eurozone credit market sectors are multifractal in nature and that credit sectors are marked by a persistent long memory phenomenon in their short- and long-term components. Furthermore, market efficiency levels are time-varying for both short- and long-term horizons and significantly change under crisis and non-crisis scenarios. Our findings render the generally adopted full sample MF-DFA results less reliable.
Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
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