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Evidence of the fractal market hypothesis in European industry sectors with the use of bootstrapped wavelet leaders singularity spectrum analysis

Lahmiri, Salim, Bekiros, Stelios and Bezzina, Frank (2022) Evidence of the fractal market hypothesis in European industry sectors with the use of bootstrapped wavelet leaders singularity spectrum analysis. Chaos, Solitons and Fractals, 165. ISSN 0960-0779

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Identification Number: 10.1016/j.chaos.2022.112813

Abstract

The main purpose of this paper is to examine the Fractal Market Hypothesis (FMH) on family business, sustainability, shariah, green, technology, and global (all stocks) markets in European zone. By using the method of bootstrapped wavelet leaders, we found that there is strong evidence in favour of the FMH. Specifically, the analyses of singularity spectrums show evidence that family business, sustainability, technology and global markets exhibit large multifractality during the COVID-19 pandemic compared to the period prior to the pandemic. Hence, these markets became more unpredictable during the pandemic. In contrary, we found strong evidence that the green market exhibits large multifractality before the COVID-19 pandemic compared to the period during the pandemic. Thus, green market became more predictable during the pandemic compared to the period pre-pandemic period. Our findings show that in one hand the COVID-19 pandemic has significantly increased complexity in family business, sustainability, technology and global markets. On the other hand, the pandemic reduced complexity in the green market. We conclude that the green stocks traded in European zone may offer a significant opportunity for hedging portfolios during times of crisis such as the COVID-19 pandemic.

Item Type: Article
Additional Information: © 2022 Elsevier.
Divisions: LSE Health
Subjects: R Medicine > RA Public aspects of medicine > RA0421 Public health. Hygiene. Preventive Medicine
Date Deposited: 10 Nov 2022 12:27
Last Modified: 14 Jun 2024 21:30
URI: http://eprints.lse.ac.uk/id/eprint/117275

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