论文标题
在COVID-19危机期间金融市场的效率：分数稳定动态的时变参数
Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
论文作者
论文摘要
本文研究了Covid-19对金融市场的影响。它使用两个效率指标：赫斯特指数和分数莱维稳定运动的内存参数。第二种方法结合了相同的动态模型，α稳定的分布和价格回报之间的依赖性结构。我们为两个效率指标提供了动态估计方法。此方法引入了一个免费参数，即折扣系数，我们选择了该参数，以便获得观察到的价格回报的最佳alpha稳定密度预测。在Covid-19危机期间，对库存指数的申请表明，美国指数的效率很大。相反，亚洲和澳大利亚的指数似乎受到的影响较小，而在199号危机期间这些市场的效率低下甚至值得怀疑。
This paper investigates the impact of COVID-19 on financial markets. It focuses on the evolution of the market efficiency, using two efficiency indicators: the Hurst exponent and the memory parameter of a fractional Lévy-stable motion. The second approach combines, in the same model of dynamic, an alpha-stable distribution and a dependence structure between price returns. We provide a dynamic estimation method for the two efficiency indicators. This method introduces a free parameter, the discount factor, which we select so as to get the best alpha-stable density forecasts for observed price returns. The application to stock indices during the COVID-19 crisis shows a strong loss of efficiency for US indices. On the opposite, Asian and Australian indices seem less affected and the inefficiency of these markets during the COVID-19 crisis is even questionable.
