The footprints of COVID-19 on Central Eastern European stock markets: an intraday analysis

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.

KEYWORDS:

• Covid-19
• efficiency
• high-frequency data
• multifractality
• stock markets

Acknowledgements

Paulo Ferreira acknowledges the financial support of Fundação para a Ciência e a Tecnologia (grants UIDB/05064/2020 and UIDB/04007/2020).

Disclosure statement

No potential conflict of interest was reported by the authors.

Supplementary material

Supplemental data for this article can be accessed here.

Additional information

Funding

This work was supported by the Fundação para a Ciência e a Tecnologia [grants UIDB/05064/2020 and UIDB/04007/2020].