Influence of the Russia–Ukraine War and COVID-19 Pandemic on the Efficiency and Herding Behavior of Stock Markets: Evidence from G20 Nations
Abstract
:1. Introduction
2. Methodology and Data
2.1. Data
2.2. Methodology
3. Empirical Results and Discussion
3.1. Descriptive Statistics
3.2. Multifractal Structures of G20 Stock Markets
3.3. Range of Persistance and Herding Behavior in the G20 Markets
4. Conclusions
Author Contributions
Funding
Informed Consent Statement
Data Availability Statement
Conflicts of Interest
References
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S. No. | Country | Stock Index | MSCI Classification | Starting Date | Observations |
---|---|---|---|---|---|
1 | Brazil | IBOVESPA | Emerging Markets | 5 January 1998 | 6019 |
2 | France | CAC 40 | Developed Markets | 5 January 1998 | 6213 |
3 | Germany | DAX PERFORMANCE-INDEX | Developed Markets | 5 January 1988 | 8677 |
4 | Canada | S&P/TSX Composite index | Developed Markets | 5 January 1988 | 8638 |
5 | Indonesia | Jakarta Composite Index | Emerging Markets | 4 January 1994 | 6912 |
6 | South Korea | KOSPI | Emerging Markets | 6 January 1998 | 6003 |
7 | Argentina | MERVAL | Emerging Markets | 2 January 1998 | 5954 |
8 | Mexico | IPC MEXICO | Emerging Markets | 4 January 1994 | 7107 |
9 | Japan | Nikkei 225 | Developed Markets | 6 January 1981 | 10,166 |
10 | China | SSE Composite Index | Emerging Markets | 3 July 1997 | 6016 |
11 | Turkey | BIST 100 | Emerging Markets | 3 January 2002 | 6207 |
12 | USA | Dow Jones Industrial Average | Developed Markets | 7 December 1999 | 5644 |
13 | Italy | FTSE MIB | Developed Markets | 14 January 2003 | 4846 |
14 | UK | FTSE 100 | Developed Markets | 4 January 2001 | 5395 |
15 | Russia | MOEX | Emerging Markets | 10 March 2009 | 2248 |
16 | South Africa | JSE Top 40 | Emerging Markets | 3 January 2007 | 5592 |
17 | India | S&P BSE Sensex | Emerging Markets | 4 January 2000 | 5535 |
18 | Australia | S&P/ASX 200 | Developed Markets | 5 January 2000 | 5654 |
19 | Saudi Arabia | TASI | Emerging Markets | 15 January 2000 | 5879 |
S. No. | Country | COVID-19 | Russia–Ukraine War | |
---|---|---|---|---|
Observations | 1st Case | Observations | ||
1 | Brazil | 489 | 27 February 2020 | 49 |
2 | France | 537 | 24 January 2020 | 50 |
3 | Germany | 530 | 27 January 2020 | 50 |
4 | Canada | 518 | 26 January 2020 | 52 |
5 | Indonesia | 484 | 2 March 2020 | 43 |
6 | South Korea | 516 | 22 January 2020 | 50 |
7 | Argentina | 482 | 3 March2020 | 48 |
8 | Mexico | 502 | 28 February 2020 | 50 |
9 | Japan | 510 | 22 January 2020 | 48 |
10 | China | 519 | 31 December 2019 | 48 |
11 | Turkey | 486 | 11 March 2020 | 48 |
12 | USA | 524 | 22 January 2020 | 52 |
13 | Italy | 527 | 31 January 2020 | 50 |
14 | UK | 524 | 31 January 2020 | 48 |
15 | Russia | 519 | 31 January 2020 | 33 |
16 | South Africa | 495 | 5 March 2020 | 48 |
17 | India | 516 | 30 January 2020 | 48 |
18 | Australia | 528 | 26 January 2020 | 50 |
19 | Saudi Arabia | 493 | 2 March 2020 | 48 |
Developed Markets | Emerging Markets | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Statistics | Australia | Canada | France | Germany | Italy | Japan | UK | USA | Argentina | Brazil | China | India | Indonesia | Mexico | Russia | Saudi Arabia | South Africa | South Korea | Turkey |
Overall Period | |||||||||||||||||||
Mean | 0.00016 | 0.00022 | 0.00013 | 0.00033 | −0.00001 | 0.00014 | 0.00003 | 0.00020 | 0.00079 | 0.00043 | 0.00019 | 0.00043 | 0.00035 | 0.00044 | 0.00055 | 0.00029 | 0.00026 | 0.00036 | 0.00047 |
Maximum | 0.06765 | 0.11295 | 0.10595 | 0.10797 | 0.10874 | 0.13235 | 0.09384 | 0.10764 | 0.16117 | 0.28832 | 0.09401 | 0.15990 | 0.13128 | 0.12154 | 0.08527 | 0.09391 | 0.09057 | 0.11284 | 0.12128 |
Minimum | −0.10203 | −0.13176 | −0.13098 | −0.14091 | −0.18541 | −0.16135 | −0.11512 | −0.13842 | −0.47692 | −0.17208 | −0.09256 | −0.14102 | −0.12732 | −0.14314 | −0.11419 | −0.10328 | −0.10450 | −0.12805 | −0.13336 |
Std. Dev. | 0.01024 | 0.00997 | 0.01437 | 0.01406 | 0.01515 | 0.01387 | 0.01192 | 0.01198 | 0.02367 | 0.01979 | 0.01549 | 0.01465 | 0.01475 | 0.01441 | 0.01412 | 0.01386 | 0.01340 | 0.01657 | 0.01765 |
Skewness | −0.72252 | −0.99786 | −0.20994 | −0.30863 | −0.71438 | −0.31815 | −0.33940 | −0.38004 | −1.67487 | 0.23511 | −0.34561 | −0.38001 | −0.19365 | 0.00320 | −0.43110 | −0.94226 | −0.21059 | −0.19484 | −0.24160 |
Kurtosis | 8.48142 | 18.95541 | 5.98165 | 6.75656 | 11.06836 | 8.20312 | 8.31338 | 13.13340 | 32.44721 | 14.64744 | 4.99352 | 9.24214 | 9.00441 | 6.95215 | 6.67578 | 10.90441 | 5.50566 | 5.88648 | 4.82828 |
COVID-19 Period | |||||||||||||||||||
Mean | 0.00011 | 0.00037 | 0.00027 | 0.00036 | 0.00017 | 0.00056 | −0.00015 | 0.00037 | 0.00187 | 0.00038 | 0.00042 | 0.00069 | 0.00031 | 0.00058 | 0.00058 | 0.00117 | 0.00070 | 0.00108 | 0.00100 |
Maximum | 0.06765 | 0.11295 | 0.08056 | 0.10414 | 0.08549 | 0.07731 | 0.08667 | 0.10764 | 0.09773 | 0.13022 | 0.05554 | 0.08595 | 0.09704 | 0.04181 | 0.07435 | 0.06831 | 0.09057 | 0.08251 | 0.05810 |
Minimum | −0.10203 | −0.13176 | −0.13098 | −0.13055 | −0.18541 | −0.06274 | −0.11512 | −0.13842 | −0.15629 | −0.15993 | −0.08039 | −0.14102 | −0.06805 | −0.06638 | −0.08646 | −0.08685 | −0.10450 | −0.08767 | −0.10307 |
Std. Dev. | 0.01646 | 0.01818 | 0.01790 | 0.01832 | 0.01974 | 0.01514 | 0.01647 | 0.02006 | 0.03068 | 0.02607 | 0.01213 | 0.01861 | 0.01563 | 0.01440 | 0.01489 | 0.01307 | 0.01764 | 0.01637 | 0.01609 |
Skewness | −1.21347 | −1.57054 | −1.30610 | −0.96209 | −2.87862 | 0.10497 | −1.09657 | −0.93904 | −0.81817 | −1.58969 | −0.87744 | −1.62935 | 0.04899 | −0.56564 | −0.88221 | −2.19058 | −0.62578 | −0.23797 | −1.76801 |
Kurtosis | 8.51725 | 20.37049 | 11.41289 | 11.30552 | 26.32322 | 4.26268 | 10.12222 | 12.78127 | 4.54731 | 12.33200 | 6.99797 | 13.50224 | 6.69740 | 2.40750 | 9.21193 | 16.89974 | 9.28752 | 5.54108 | 9.31730 |
Russia–Ukraine War | |||||||||||||||||||
Mean | −0.00024 | −0.00070 | −0.00114 | −0.00089 | −0.00128 | −0.00010 | −0.00226 | −0.00052 | −0.00219 | −0.00166 | −0.00312 | −0.00103 | 0.00102 | −0.00092 | 0.00334 | 0.00204 | −0.00266 | −0.00091 | 0.00544 |
Maximum | 0.01309 | 0.01801 | 0.06883 | 0.07623 | 0.06714 | 0.03860 | 0.01603 | 0.02775 | 0.03961 | 0.02396 | 0.03424 | 0.02407 | 0.01164 | 0.02118 | 0.18262 | 0.01984 | 0.04083 | 0.02185 | 0.05312 |
Minimum | −0.03031 | −0.03119 | −0.04019 | −0.04040 | −0.04288 | −0.02984 | −0.03955 | −0.03171 | −0.05054 | −0.02898 | −0.05268 | −0.04836 | −0.01488 | −0.02300 | −0.05016 | −0.01853 | −0.03882 | −0.02635 | −0.08517 |
Std. Dev. | 0.00931 | 0.01000 | 0.01898 | 0.01950 | 0.01925 | 0.01540 | 0.01186 | 0.01344 | 0.01862 | −0.01295 | 0.01685 | 0.01454 | 0.00636 | 0.01087 | 0.04327 | 0.00754 | 0.01532 | 0.01041 | 0.01708 |
Skewness | −1.08036 | −0.70804 | 0.90073 | 1.14621 | 0.52950 | 0.29886 | −1.24770 | −0.32308 | −0.18390 | −0.13115 | −0.72397 | −0.51137 | −0.43071 | 0.11286 | 2.30444 | −0.57090 | 0.08121 | −0.14914 | −2.69559 |
Kurtosis | 1.24220 | 0.94405 | 2.82615 | 3.99206 | 2.59417 | −0.15874 | 1.79912 | −0.01733 | 0.55965 | −0.42126 | 1.44283 | 0.87097 | −0.60784 | −0.59640 | 7.82037 | 0.64723 | 0.64424 | −0.14665 | 16.79280 |
Overall Period | Developed Markets | Emerging Markets | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Order q | Australia | Canada | France | Germany | Italy | Japan | UK | USA | Argentina | Brazil | China | India | Indonesia | Mexico | Russia | Saudi Arabia | South Africa | South Korea | Turkey |
−10 | 0.627 | 0.642 | 0.635 | 0.619 | 0.720 | 0.737 | 0.631 | 0.610 | 0.772 | 0.630 | 0.747 | 0.615 | 0.744 | 0.654 | 0.492 | 0.798 | 0.604 | 0.661 | 0.541 |
−8 | 0.613 | 0.630 | 0.620 | 0.608 | 0.702 | 0.719 | 0.618 | 0.595 | 0.755 | 0.616 | 0.728 | 0.599 | 0.726 | 0.640 | 0.479 | 0.781 | 0.590 | 0.644 | 0.527 |
−6 | 0.595 | 0.615 | 0.600 | 0.595 | 0.677 | 0.695 | 0.599 | 0.575 | 0.732 | 0.598 | 0.702 | 0.577 | 0.702 | 0.622 | 0.462 | 0.759 | 0.572 | 0.621 | 0.509 |
−4 | 0.574 | 0.596 | 0.576 | 0.581 | 0.641 | 0.663 | 0.575 | 0.549 | 0.702 | 0.575 | 0.666 | 0.552 | 0.668 | 0.596 | 0.439 | 0.730 | 0.552 | 0.589 | 0.489 |
−2 | 0.555 | 0.571 | 0.547 | 0.567 | 0.598 | 0.626 | 0.540 | 0.517 | 0.662 | 0.542 | 0.622 | 0.528 | 0.623 | 0.557 | 0.409 | 0.698 | 0.529 | 0.538 | 0.469 |
0 | 0.533 | 0.530 | 0.515 | 0.549 | 0.556 | 0.592 | 0.488 | 0.473 | 0.608 | 0.494 | 0.569 | 0.509 | 0.565 | 0.494 | 0.360 | 0.668 | 0.499 | 0.458 | 0.442 |
2 | 0.479 | 0.455 | 0.477 | 0.518 | 0.464 | 0.562 | 0.418 | 0.404 | 0.535 | 0.428 | 0.499 | 0.473 | 0.490 | 0.421 | 0.265 | 0.620 | 0.448 | 0.366 | 0.387 |
4 | 0.401 | 0.364 | 0.435 | 0.480 | 0.331 | 0.530 | 0.350 | 0.329 | 0.456 | 0.358 | 0.437 | 0.422 | 0.422 | 0.366 | 0.152 | 0.564 | 0.388 | 0.297 | 0.326 |
6 | 0.342 | 0.298 | 0.399 | 0.449 | 0.258 | 0.497 | 0.302 | 0.275 | 0.396 | 0.309 | 0.394 | 0.381 | 0.376 | 0.329 | 0.083 | 0.524 | 0.340 | 0.253 | 0.284 |
8 | 0.305 | 0.256 | 0.372 | 0.426 | 0.217 | 0.471 | 0.270 | 0.239 | 0.356 | 0.277 | 0.365 | 0.354 | 0.347 | 0.305 | 0.045 | 0.497 | 0.308 | 0.223 | 0.256 |
10 | 0.281 | 0.230 | 0.353 | 0.410 | 0.192 | 0.452 | 0.248 | 0.216 | 0.330 | 0.257 | 0.344 | 0.334 | 0.327 | 0.287 | 0.021 | 0.478 | 0.287 | 0.204 | 0.237 |
∆h | 0.346 | 0.413 | 0.282 | 0.210 | 0.528 | 0.284 | 0.383 | 0.394 | 0.442 | 0.373 | 0.403 | 0.281 | 0.418 | 0.367 | 0.471 | 0.320 | 0.317 | 0.457 | 0.304 |
Developed Markets | Emerging Markets | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Order q | Australia | Canada | France | Germany | Italy | Japan | UK | USA | Argentina | Brazil | China | India | Indonesia | Mexico | Russia | Saudi Arabia | South Africa | South Korea | Turkey |
COVID-19 | |||||||||||||||||||
−10 | 0.6564 | 0.6293 | 0.6673 | 0.7224 | 0.5453 | 0.7240 | 0.5224 | 0.6512 | 0.6722 | 0.8053 | 0.4151 | 0.7475 | 0.7168 | 0.6234 | 0.8642 | 0.7495 | 0.6503 | 0.8800 | 0.7404 |
−8 | 0.6458 | 0.6093 | 0.6496 | 0.7072 | 0.5283 | 0.7036 | 0.5091 | 0.6343 | 0.6557 | 0.7851 | 0.4059 | 0.7307 | 0.7042 | 0.6078 | 0.8444 | 0.7314 | 0.6370 | 0.8595 | 0.7273 |
−6 | 0.6333 | 0.5808 | 0.6257 | 0.6866 | 0.5057 | 0.6753 | 0.4920 | 0.6106 | 0.6330 | 0.7576 | 0.3958 | 0.7084 | 0.6872 | 0.5873 | 0.8165 | 0.7065 | 0.6197 | 0.8307 | 0.7097 |
−4 | 0.6208 | 0.5391 | 0.5950 | 0.6581 | 0.4751 | 0.6373 | 0.4707 | 0.5756 | 0.6010 | 0.7209 | 0.3862 | 0.6798 | 0.6630 | 0.5604 | 0.7760 | 0.6706 | 0.5968 | 0.7900 | 0.6855 |
−2 | 0.6131 | 0.4803 | 0.5644 | 0.6190 | 0.4333 | 0.5923 | 0.4487 | 0.5204 | 0.5568 | 0.6745 | 0.3788 | 0.6481 | 0.6251 | 0.5258 | 0.7163 | 0.6167 | 0.5652 | 0.7348 | 0.6501 |
0 | 0.5970 | 0.4001 | 0.5343 | 0.5504 | 0.3730 | 0.5381 | 0.4239 | 0.4294 | 0.4957 | 0.6186 | 0.3679 | 0.6072 | 0.5532 | 0.4776 | 0.6159 | 0.5348 | 0.5119 | 0.6529 | 0.5935 |
2 | 0.4599 | 0.2941 | 0.4225 | 0.3795 | 0.2912 | 0.4311 | 0.3344 | 0.2992 | 0.4089 | 0.5508 | 0.3369 | 0.4866 | 0.3915 | 0.3998 | 0.4440 | 0.4301 | 0.3772 | 0.5025 | 0.5007 |
4 | 0.3139 | 0.1932 | 0.2967 | 0.2309 | 0.2156 | 0.3019 | 0.2286 | 0.1891 | 0.3143 | 0.4808 | 0.2949 | 0.3515 | 0.2190 | 0.3091 | 0.2907 | 0.3402 | 0.2018 | 0.3447 | 0.4028 |
6 | 0.2407 | 0.1261 | 0.2259 | 0.1576 | 0.1638 | 0.2219 | 0.1651 | 0.1241 | 0.2482 | 0.4278 | 0.2618 | 0.2778 | 0.1283 | 0.2430 | 0.2043 | 0.2818 | 0.1037 | 0.2557 | 0.3398 |
8 | 0.2010 | 0.0848 | 0.1857 | 0.1182 | 0.1300 | 0.1769 | 0.1281 | 0.0857 | 0.2081 | 0.3919 | 0.2389 | 0.2374 | 0.0804 | 0.2012 | 0.1553 | 0.2446 | 0.0513 | 0.2075 | 0.3021 |
10 | 0.1763 | 0.0580 | 0.1604 | 0.0939 | 0.1069 | 0.1491 | 0.1046 | 0.0609 | 0.1827 | 0.3674 | 0.2228 | 0.2122 | 0.0517 | 0.1739 | 0.1247 | 0.2194 | 0.0200 | 0.1784 | 0.2781 |
∆h | 0.4801 | 0.5712 | 0.5069 | 0.6285 | 0.4384 | 0.5749 | 0.4178 | 0.5903 | 0.4895 | 0.4380 | 0.1923 | 0.5353 | 0.6651 | 0.4495 | 0.7394 | 0.5300 | 0.6302 | 0.7016 | 0.4623 |
Russia−Ukraine War | |||||||||||||||||||
−10 | 0.8931 | 0.8874 | 0.6477 | 0.6612 | 0.6871 | 0.8880 | 1.1385 | 0.7921 | 0.7881 | 0.9552 | 0.8833 | 0.8418 | 0.4635 | 0.8443 | 1.2029 | 0.9856 | 0.8127 | 0.5979 | 0.6826 |
−8 | 0.8759 | 0.8718 | 0.6353 | 0.6503 | 0.6728 | 0.8678 | 1.1248 | 0.7652 | 0.7659 | 0.9389 | 0.8571 | 0.8222 | 0.4487 | 0.8322 | 1.1880 | 0.9552 | 0.7841 | 0.5814 | 0.6611 |
−6 | 0.8516 | 0.8473 | 0.6192 | 0.6364 | 0.6539 | 0.8400 | 1.1057 | 0.7240 | 0.7331 | 0.9169 | 0.8166 | 0.7956 | 0.4292 | 0.8170 | 1.1644 | 0.9074 | 0.7408 | 0.5560 | 0.6329 |
−4 | 0.8145 | 0.8019 | 0.5969 | 0.6175 | 0.6281 | 0.8018 | 1.0757 | 0.6592 | 0.6817 | 0.8866 | 0.7500 | 0.7581 | 0.4029 | 0.7981 | 1.1209 | 0.8266 | 0.6713 | 0.5142 | 0.5959 |
−2 | 0.7539 | 0.7055 | 0.5628 | 0.5870 | 0.5881 | 0.7530 | 1.0174 | 0.5628 | 0.5995 | 0.8448 | 0.6404 | 0.7020 | 0.3678 | 0.7753 | 1.0275 | 0.6857 | 0.5592 | 0.4467 | 0.5492 |
0 | 0.6618 | 0.5284 | 0.5052 | 0.5216 | 0.5087 | 0.6971 | 0.8797 | 0.4493 | 0.4835 | 0.7894 | 0.4908 | 0.6176 | 0.3231 | 0.7492 | 0.8302 | 0.4838 | 0.4103 | 0.3644 | 0.4960 |
2 | 0.5679 | 0.3502 | 0.4161 | 0.3970 | 0.3653 | 0.6373 | 0.6873 | 0.3557 | 0.3649 | 0.7248 | 0.3529 | 0.5094 | 0.2718 | 0.7217 | 0.5984 | 0.3189 | 0.2737 | 0.2976 | 0.4460 |
4 | 0.5067 | 0.2453 | 0.3211 | 0.2720 | 0.2225 | 0.5835 | 0.5774 | 0.2949 | 0.2783 | 0.6646 | 0.2607 | 0.4068 | 0.2213 | 0.6953 | 0.4651 | 0.2281 | 0.1788 | 0.2504 | 0.4062 |
6 | 0.4722 | 0.1902 | 0.2502 | 0.1923 | 0.1322 | 0.5420 | 0.5220 | 0.2570 | 0.2236 | 0.6192 | 0.2042 | 0.3302 | 0.1790 | 0.6721 | 0.3978 | 0.1762 | 0.1168 | 0.2161 | 0.3763 |
8 | 0.4516 | 0.1586 | 0.2043 | 0.1455 | 0.0799 | 0.5117 | 0.4896 | 0.2320 | 0.1887 | 0.5878 | 0.1685 | 0.2779 | 0.1470 | 0.6530 | 0.3602 | 0.1432 | 0.0750 | 0.1906 | 0.3537 |
10 | 0.4379 | 0.1384 | 0.1745 | 0.1164 | 0.0476 | 0.4896 | 0.4682 | 0.2144 | 0.1650 | 0.5658 | 0.1446 | 0.2421 | 0.1238 | 0.6377 | 0.3369 | 0.1207 | 0.0457 | 0.1715 | 0.3362 |
∆h | 0.4552 | 0.7491 | 0.4732 | 0.5448 | 0.6395 | 0.3984 | 0.6703 | 0.5777 | 0.6231 | 0.3893 | 0.7387 | 0.5997 | 0.3398 | 0.2066 | 0.8659 | 0.8649 | 0.7670 | 0.4264 | 0.3464 |
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Ahmed Memon, B.; Aslam, F.; Naveed, H.M.; Ferreira, P.; Ganiev, O. Influence of the Russia–Ukraine War and COVID-19 Pandemic on the Efficiency and Herding Behavior of Stock Markets: Evidence from G20 Nations. Economies 2024, 12, 106. https://doi.org/10.3390/economies12050106
Ahmed Memon B, Aslam F, Naveed HM, Ferreira P, Ganiev O. Influence of the Russia–Ukraine War and COVID-19 Pandemic on the Efficiency and Herding Behavior of Stock Markets: Evidence from G20 Nations. Economies. 2024; 12(5):106. https://doi.org/10.3390/economies12050106
Chicago/Turabian StyleAhmed Memon, Bilal, Faheem Aslam, Hafiz Muhammad Naveed, Paulo Ferreira, and Omonjon Ganiev. 2024. "Influence of the Russia–Ukraine War and COVID-19 Pandemic on the Efficiency and Herding Behavior of Stock Markets: Evidence from G20 Nations" Economies 12, no. 5: 106. https://doi.org/10.3390/economies12050106