Disentangling the impact of economic and health crises on financial markets
Bariviera, A.F., Fabregat-Aibar L. and Sorrosal-Forradelles, MT.: "Disentangling the impact of economic and health crises on financial markets", Research in International Business and Finance
This paper explores the impact of different crises on the informational efficiency of financial assets. Unlike previous literature, which study the effect of a single crisis on the informational efficiency in some financial markets, the current paper covers more than two decades of data under different political and economic situations.
The period under analysis includes important events such as the dot-com crash, the 2008 global financial crisis or the more recent Covid-19 pandemic. The results could be of interest for investors as well as for academics, regarding the hedging limits of the models during calm or turbulent times. The time-varying multifractality and long memory requires that investors pay attention to the specific behavior of the time series for their selected investment horizons.