ABSTRACT

This study analyses the intraday multifractal behaviour of three Central Eastern European stock markets by deploying five-minute index data ranging from December 2019 to May 2020. With the analysis of multifractality, we can evaluate the degree of efficiency of the stock markets analysed. We divided the whole sample into three different periods of about two months each. Data for the Czech Republic, Hungary and Poland are used and their behaviour is compared with Germany (as a benchmark of the European Union) and Italy and Spain (as the most affected countries by Covid-19 in Europe). For the analysis, we employ multifractal detrended fluctuation analysis after using seasonal-trend decompositions using the loess method. The results confirm that the degree of multifractality varies in the different periods, with increasing multifractality in February–March and a recovery in April–May. Furthermore, the behaviour of these stock markets shifted from persistent to anti-persistent.

摘要

本研究通过部署 2019 年 12 月至 2020 年 5 月的五分钟指数数据，分析了三个中东欧股票市场的日内多重分形行为。通过对多重分形的分析，我们可以评估所分析股票市场的效率程度。我们将整个样本分为三个不同的时期，每个时期大约两个月。使用了捷克共和国、匈牙利和波兰的数据，并将它们的行为与德国（作为欧盟的基准）以及意大利和西班牙（作为欧洲受 Covid-19 影响最严重的国家）进行了比较。对于分析，我们在使用黄土方法进行季节性趋势分解后，采用多重分形去趋势波动分析。结果证实，不同时期的多重分形程度不同，随着 2 月至 3 月的多重分形增加以及 4 月至 5 月的恢复。此外，这些股票市场的行为从持续转向反持续。