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- W3179700819 abstract "To examine the overall properties of the China’s stock market affected by the COVID-19 pandemic, we provide a comprehensive study of the multifractal properties across stock market sectors applying multifractal detrended fluctuation analysis (MF-DFA). We focus on intra-day 5[Formula: see text]min transaction data of 10 sectors in the Shanghai Stock Exchange, and the time-depended MF-DFA was also used to explore the dynamical evolution of the multifractal characterize for the overall period. We found that all sectors exhibit stronger multifractality and the weak market efficiency during the period of COVID-19, MHII performed best with the lower multifractal properties and higher market efficiency, three worse performers were ITII, TBII, and EII. While ITII, TBII, MCII, and UII were the four fastest recovering sectors from the gloom of the epidemic, with the plummeted multifractal intensity and the significantly increased market efficiency for the post-phase of the pandemic. The results based on the time-varying MF-DFA confirmed that the Chinese stock market is not only affected by the COVID-19 epidemic domestic but the impact of the US stock market crash in March was also transmitted to it, causing those industries sensitive to the market to fluctuate subsequently." @default.
- W3179700819 created "2021-07-19" @default.
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- W3179700819 date "2021-10-05" @default.
- W3179700819 modified "2023-09-26" @default.
- W3179700819 title "MULTIFRACTAL ANALYSIS OF COVID-19’S IMPACT ON CHINA’S STOCK MARKET" @default.
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- W3179700819 doi "https://doi.org/10.1142/s0218348x21502133" @default.
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