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• W2801804729 abstract "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." @default.
• W2801804729 created "2018-05-17" @default.
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• W2801804729 date "2018-09-01" @default.
• W2801804729 modified "2023-09-29" @default.
• W2801804729 title "Dynamic efficiency of European credit sectors: A rolling-window multifractal detrended fluctuation analysis" @default.
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• W2801804729 doi "https://doi.org/10.1016/j.physa.2018.04.039" @default.
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