| bibtype |
J -
Journal Article
|
| ARLID |
0533624 |
| utime |
20240103224615.7 |
| mtime |
20201028235959.9 |
| SCOPUS |
85082752272 |
| WOS |
000528310200035 |
| DOI |
10.1016/j.physa.2020.124519 |
| title
(primary) (eng) |
Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour |
| specification |
| page_count |
14 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0257423 |
| ISSN |
0378-4371 |
| title
|
Physica. A : Statistical Mechanics and its Applications |
| volume_id |
550 |
| publisher |
|
|
| keyword |
clean energy stocks |
| keyword |
long memory |
| keyword |
efficiency |
| keyword |
MF-DFA |
| author
(primary) |
| ARLID |
cav_un_auth*0377615 |
| name1 |
Shahzad |
| name2 |
S. J. H. |
| country |
FR |
|
| author
|
| ARLID |
cav_un_auth*0377616 |
| name1 |
Bouri |
| name2 |
E. |
| country |
LB |
|
| author
|
| ARLID |
cav_un_auth*0398231 |
| name1 |
Kayani |
| name2 |
G. M. |
| country |
CN |
|
| author
|
| ARLID |
cav_un_auth*0398232 |
| name1 |
Nasir |
| name2 |
R. M. |
| country |
PK |
|
| author
|
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| source |
|
| cas_special |
| project |
| project_id |
GJ17-12386Y |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0351447 |
|
| abstract
(eng) |
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. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50201 |
| reportyear |
2021 |
| num_of_auth |
5 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0312005 |
| mrcbC61 |
1 |
| confidential |
S |
| article_num |
124519 |
| mrcbC86 |
1* Article Physics Multidisciplinary |
| mrcbC91 |
C |
| mrcbT16-e |
PHYSICSMULTIDISCIPLINARY |
| mrcbT16-i |
6.77271 |
| mrcbT16-j |
0.51 |
| mrcbT16-s |
0.640 |
| mrcbT16-B |
44.13 |
| mrcbT16-D |
Q3 |
| mrcbT16-E |
Q3 |
| arlyear |
2020 |
| mrcbU14 |
85082752272 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000528310200035 WOS |
| mrcbU63 |
cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 550 č. 1 2020 Elsevier |
|