Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 506, Issue -, Pages 337-349Publisher
ELSEVIER
DOI: 10.1016/j.physa.2018.04.039
Keywords
MF-DFA; Credit markets; Long memory; Anti-persistence
Categories
Funding
- Deanship of Scientific Research at King Saud University, Saudi Arabia through Research Group Project [RGP-211]
Ask authors/readers for more resources
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. (C) 2018 Elsevier B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available