Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F20%3A00533624" target="_blank" >RIV/67985556:_____/20:00533624 - isvavai.cz</a>

Result on the web

<a href="https://www.sciencedirect.com/science/article/pii/S037843712030234X" target="_blank" >https://www.sciencedirect.com/science/article/pii/S037843712030234X</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.physa.2020.124519" target="_blank" >10.1016/j.physa.2020.124519</a>

Result language

angličtina

Original language name

Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour

Original language description

We examine the multifractal scaling behaviour and weak form market efficiency of clean energy stock indices using an asymmetric MF-DFA. We find asymmetric multifractality in the US, European, and global clean energy stock indices. Asymmetric multifractality in the clean energy stock index of the US is due to fat-tails and long-range correlation. However, for European and global clean stocks, multifractality is due only to fat-tailed distribution. We find higher efficiency in the upward trend of the European and global clean stock markets whereas, for the US, the market is less efficient when the market is upward trending. The time-varying market deficiency measure shows that US clean energy stocks are becoming relatively more efficient over time.

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

—

OECD FORD branch

50201 - Economic Theory

Project

<a href="/en/project/GJ17-12386Y" target="_blank" >GJ17-12386Y: Multifractal analysis in finance: Extreme events, portfolio and risk management, and market complexity</a><br>

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2020

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Physica. A : Statistical Mechanics and its Applications

ISSN

0378-4371

e-ISSN

—

Volume of the periodical

550

Issue of the periodical within the volume

1

Country of publishing house

NL - THE KINGDOM OF THE NETHERLANDS

Number of pages

14

Pages from-to

124519

UT code for WoS article

000528310200035

EID of the result in the Scopus database

2-s2.0-85082752272