چکیده مقاله
This study aims to investigate financial market efficiency, influenced by the impact of the crisis COVID 19 pandemic all over the world Since the extent of markets’ information efficiency is vital to making a profit through strategic and trading actions of stock investors, catastrophic events like the recent pandemic with long term effects have been paid attention substantially Besides, academics and economists have studied the Efficient Market Hypothesis EMH for many years Here, the rolling window Hurst exponent and the Hurst exponent based on the rescaled range R/S analysis are proposed to explore efficiency changes of 8 more affected stocks indexes NYSE Composite, IBEX 35, CAC 40, DAX, HANG SENG, Bovespa, BSE Sensex 30 and MOEX to evaluate the level of stability/instability of Markets Ultimate findings confirm that shocks having external or internal causes can significantly affect different markets according to their conditions of economic resilience It is also found that all the markets used in this study deviate from the market efficiency in some periods of COVID 19, and the deviation from the market efficiency is more seen in the Asian and American markets This shows that the chance of stock price prediction and achieving abnormal returns during the COVID 19 outbreak was increasing Accordingly, to achieve more profit in portfolio optimization with asset allocation or asset selection, similar policies can be discussed to provide the relevant basis for investors to make investment decisions
کلیدواژهها
نویسندگان
Milad Kamali Alamdari
M Sc student, Amirkabir University of Technology/ Industrial engineering and management systems department
Ehsan Hajizadeh
Assistant Professor, Amirkabir University of Technology/Industrial engineering and management systems department;
Ali Fereydooni
M Sc student, Amirkabir University of Technology/ Industrial engineering and management systems department;
شیوه ارجاع
Kamali Alamdari, Milad and Hajizadeh, Ehsan and Fereydooni, Ali,1401,A Hurst exponent analysis approach for investigation of market efficiency during COVID 19 pandemic: A case study from top affected economies,8th International Conference on Industrial and Systems Engineering,Mashhad
ارائهشده در
مجموعه مقالات هشتمین کنفرانس بین المللی مهندسی صنایع و سیستم ها16 شهریور 1401 · مشهد