Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour
Result 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.
Keywords
The result's identifiers
Result code in IS VaVaI
Result on the web
https://www.sciencedirect.com/science/article/pii/S037843712030234X
DOI - Digital Object Identifier
Alternative languages
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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Classification
Type
Jimp - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Physica. A : Statistical Mechanics and its Applications
ISSN
0378-4371
e-ISSN
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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
Basic information
Result type
Jimp - Article in a specialist periodical, which is included in the Web of Science database
OECD FORD
Economic Theory
Year of implementation
2020