Are rare earth stocks efficient? Novel insights using asymmetric MF-DFA
Abstract This study investigates the weak-form efficiency and asymmetric multifractal scaling behavior of rare earth stock indices in the global, U.S. and Chinese markets during the trade war and the COVID-19 period. We examine the scaling behavior across overall, upward (bullish), and downward (bea...
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| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
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SpringerOpen
2025-01-01
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| Series: | Financial Innovation |
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| Online Access: | https://doi.org/10.1186/s40854-024-00744-x |
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| _version_ | 1832594463139037184 |
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| author | Pengbo Wan Ghulam Mujtaba Saira Ashfaq Song Liangrong Rana Muhammad Nasir |
| author_facet | Pengbo Wan Ghulam Mujtaba Saira Ashfaq Song Liangrong Rana Muhammad Nasir |
| author_sort | Pengbo Wan |
| collection | DOAJ |
| description | Abstract This study investigates the weak-form efficiency and asymmetric multifractal scaling behavior of rare earth stock indices in the global, U.S. and Chinese markets during the trade war and the COVID-19 period. We examine the scaling behavior across overall, upward (bullish), and downward (bearish) market states from 2013 to 2021, employing an asymmetric multifractal detrended fluctuation analysis approach. Our findings indicate asymmetric multifractality in U.S. rare earth stock prices, caused by fat tails and long-range correlations. Weak-form price inefficiency and asymmetry in U.S. rare earth stock prices are prominent during market downturns, such as the trade war and COVID-19 periods. Chinese rare earth stocks demonstrate greater efficiency than U.S. and global stocks; thus, the latter markets provide arbitrage opportunities during upward and downward trends. |
| format | Article |
| id | doaj-art-1f174bd9c05f4c798f5835ee605cfa93 |
| institution | Kabale University |
| issn | 2199-4730 |
| language | English |
| publishDate | 2025-01-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Financial Innovation |
| spelling | doaj-art-1f174bd9c05f4c798f5835ee605cfa932025-01-19T12:36:03ZengSpringerOpenFinancial Innovation2199-47302025-01-0111111710.1186/s40854-024-00744-xAre rare earth stocks efficient? Novel insights using asymmetric MF-DFAPengbo Wan0Ghulam Mujtaba1Saira Ashfaq2Song Liangrong3Rana Muhammad Nasir4School of Finance, Hubei University of EconomicsBusiness and Health Studies, York St John UniversityBusiness and Health Studies, York St John UniversityBusiness School, University of Shanghai for Science & TechnologySchool of Economics & Management, University of Science & TechnologyAbstract This study investigates the weak-form efficiency and asymmetric multifractal scaling behavior of rare earth stock indices in the global, U.S. and Chinese markets during the trade war and the COVID-19 period. We examine the scaling behavior across overall, upward (bullish), and downward (bearish) market states from 2013 to 2021, employing an asymmetric multifractal detrended fluctuation analysis approach. Our findings indicate asymmetric multifractality in U.S. rare earth stock prices, caused by fat tails and long-range correlations. Weak-form price inefficiency and asymmetry in U.S. rare earth stock prices are prominent during market downturns, such as the trade war and COVID-19 periods. Chinese rare earth stocks demonstrate greater efficiency than U.S. and global stocks; thus, the latter markets provide arbitrage opportunities during upward and downward trends.https://doi.org/10.1186/s40854-024-00744-xRare earth stocksLong memoryEfficiencyAsymmetric MF-DFACOVID-19Trade war |
| spellingShingle | Pengbo Wan Ghulam Mujtaba Saira Ashfaq Song Liangrong Rana Muhammad Nasir Are rare earth stocks efficient? Novel insights using asymmetric MF-DFA Financial Innovation Rare earth stocks Long memory Efficiency Asymmetric MF-DFA COVID-19 Trade war |
| title | Are rare earth stocks efficient? Novel insights using asymmetric MF-DFA |
| title_full | Are rare earth stocks efficient? Novel insights using asymmetric MF-DFA |
| title_fullStr | Are rare earth stocks efficient? Novel insights using asymmetric MF-DFA |
| title_full_unstemmed | Are rare earth stocks efficient? Novel insights using asymmetric MF-DFA |
| title_short | Are rare earth stocks efficient? Novel insights using asymmetric MF-DFA |
| title_sort | are rare earth stocks efficient novel insights using asymmetric mf dfa |
| topic | Rare earth stocks Long memory Efficiency Asymmetric MF-DFA COVID-19 Trade war |
| url | https://doi.org/10.1186/s40854-024-00744-x |
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