Fractal analysis and the relationship between efficiency of capital market indices and COVID-19 in Iran
Mehrzad Alijani, Bahman Banimahd, Hashem Nikoomaram and 1 more
Results in Physics · 2021
doi:10.1016/j.rinp.2021.104262 (opens in a new tab)
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Abstract
In this paper, while examining the factorical effects of COVID-19 on different layers of capital market and economy, we examine market efficiency during Corona virus pandemic, as well as correlation and relationship between capital market indicators and market efficiency with COVID-19 data in Iran. Hurst exponent is able to identify fractal dimensions of time series data in various capital market indices and COVID-19 is analyzed by using newly modified index. In addition, calculated trend indicates inefficiency during virus outbreak. Analysis of real time series data deficit in Iran from 22 February to 23 September 2020, which reveal interesting and new facts. In this paper, we use modified Hurst exponent index that is one of contribution which is a new technique and confirms output of results.
Abstract licence: CC BY-NC
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