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- W4387492074 abstract "This study investigates the risk transmission among the 34 stock markets from the perspective of market inefficiency spillovers. By combining the hidden Markov model (HMM) with the multifractal detrended fluctuation analysis (MF-DFA), we propose HMM-A-MFDFA to measure the degree of market efficiency for bull and bear regimes. Asymmetric characteristics of market inefficiency spillovers in bull and bear regimes are documented using the Diebold–Yilmaz spillover indices. Inefficiency spillovers prominently rise when the external economic and financial environment gets worse, not only during market crashes but also during market bubbles." @default.
- W4387492074 created "2023-10-11" @default.
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- W4387492074 date "2023-10-01" @default.
- W4387492074 modified "2023-10-16" @default.
- W4387492074 title "Market inefficiency spillover network across different regimes" @default.
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- W4387492074 doi "https://doi.org/10.1016/j.frl.2023.104577" @default.
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