In this study, we test the efficient market hypothesis for a number of sectors in the US stock market during the COVID-19 pandemic to identify its effects on individual sectors. To test this hypothesis, we define the average price for 11 sectors within the S&P 500 and apply multifractal detrended fluctuation analysis to the average return series. Furthermore, we also investigate these sectors’ efficiency and multifractality during the global financial crisis (GFC) to analyze the features of the COVID-19 pandemic. Our findings can be summarized as follows. First, the average return series show non-persistent and persistent features during the GFC and the COVID-19 pandemic, respectively. Second, during each of these crisis periods, the consumer discretionary and utilities sectors had the highest and lowest levels of efficiency, respectively. Third, while both long-range correlations and fat-tailed distribution contributed to the multifractal properties, the latter of these was the chief contributor. Furthermore, the lower the efficiency ranking, the greater the impact of the fat-tailed distribution on multifractality. Finally, we classify sectors with low market efficiency for the two crisis periods. These findings have several important implications for asset allocations by investors in US stock markets.

在这项研究中，我们测试了COVID-19大流行期间美国股市中许多部门的有效市场假说，以确定其对各个部门的影响。为了检验该假设，我们定义了标准普尔500指数中11个板块的平均价格，并对平均收益序列进行了多重分形趋势分析。此外，我们还调查了全球金融危机（GFC）期间这些部门的效率和多重性，以分析COVID-19大流行的特征。我们的发现可以总结如下。首先，平均收益序列分别显示了GFC和COVID-19大流行期间的非持久性和持久性特征。其次，在每个危机时期，非必需消费品部门和公用事业部门分别具有最高和最低效率。第三，虽然远距离相关性和肥尾分布都对多重分形特性有所贡献，但后者却是主要的贡献者。此外，效率等级越低，胖尾分布对多重分形的影响越大。最后，我们对两个危机时期市场效率低的行业进行了分类。这些发现对投资者在美国股票市场的资产配置具有重要意义。