Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour

0533624 - ÚTIA 2021 RIV NL eng J - Článek v odborném periodiku
Shahzad, S. J. H. - Bouri, E. - Kayani, G. M. - Nasir, R. M. - Krištoufek, Ladislav
Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour.
Physica. A : Statistical Mechanics and its Applications. Roč. 550, č. 1 (2020), č. článku 124519. ISSN 0378-4371. E-ISSN 1873-2119
Grant CEP: GA ČR(CZ) GJ17-12386Y
Institucionální podpora: RVO:67985556
Klíčová slova: clean energy stocks * long memory * efficiency * MF-DFA
Obor OECD: Economic Theory
Impakt faktor: 3.263, rok: 2020
Způsob publikování: Omezený přístup
http://library.utia.cas.cz/separaty/2020/E/kristoufek-0533624.pdf https://www.sciencedirect.com/science/article/pii/S037843712030234X

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.
Trvalý link: http://hdl.handle.net/11104/0312005