Methodology used to analyse the behavior of time series, which in the case of financial time series could be used to analyse their efficiency.
Published in Chapter:
How Does COVID-19 Impact the Efficiency of the Chinese Stock Market?: A Sliding Windows Approach
Paulo Ferreira (Polytechnic Institute of Portalegre, Portugal), Éder Pereira (Instituto Federal de Educação do Maranhão, Brazil), Oussama Tilfani (Faculty of Sciences and Techniques, Cadi Ayyad University, Morocco), and My Youssef El Boukfaoui (Faculty of Sciences and Techniques, Cadi Ayyad University, Morocco)
Copyright: © 2021
|Pages: 17
DOI: 10.4018/978-1-7998-6643-5.ch025
Abstract
The spread of COVID-19, first in China and then all over the world, has had a major impact on economic and financial systems. In this chapter, the authors focus their analysis on the Chinese stock market since it was the first to be affected with relevant time to react. They use the detrended fluctuation analysis with a sliding windows approach and with minute-based data to analyse the impact of COVID-19 on the efficiency of the Chinese stock market. The results show that the Chinese stock market suffered from some kind of turbulence with high levels of dependence, but the market reacted quickly and after that turbulence recovered the efficiency pattern. This is a very relevant result that shows that this particular stock market quickly reacts to turbulent periods, very important information for investors.