Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

<a href="/cs/project/GJ17-12386Y" target="_blank" >GJ17-12386Y: Multifraktální analýza ve financích: Extrémní události, řízení rizika a portfolia, a komplexita trhů</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2020

Kód důvěrnosti údajů

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

Název periodika

Physica. A : Statistical Mechanics and its Applications

ISSN

0378-4371

e-ISSN

—

Svazek periodika

550

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

14

Strana od-do

124519

Kód UT WoS článku

000528310200035

EID výsledku v databázi Scopus

2-s2.0-85082752272