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Multifractality during upside/downside trends in the MENA stock markets: the effects of the global financial crisis, oil crash and COVID-19 pandemic

Walid Mensi (Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University, Muscat, Oman) (Institute of Business Research, University of Economics Ho Chi Minh City, Ho Chi Minh City, Vietnam)
Imran Yousaf (Department of Business Studies, Namal University, Mianwali, Pakistan)
Xuan Vinh Vo (Institute of Business Research and CFVG, University of Economics Ho Chi Minh City, Ho Chi Minh City, Vietnam)
Sang Hoon Kang (PNU Business School, Pusan National University, Busan, Republic of Korea)

International Journal of Emerging Markets

ISSN: 1746-8809

Article publication date: 28 January 2022

Issue publication date: 21 November 2023

691

Abstract

Purpose

This paper examines asymmetric multifractality (A-MF) in the leading Middle East and North Africa (MENA) stock markets under different turbulent periods (global financial crisis [GFC] and European sovereign debt crisis [ESDC], oil price crash and COVID-19 pandemic).

Design/methodology/approach

This study applies the asymmetric multifractal detrended fluctuation analysis (A-MF-DFA) method of Cao et al. (2013) to identify A-MF and MENA stock market efficiency during the COVID-19 pandemic.

Findings

The results show strong evidence of different patterns of MF during upward and downward trends. Inefficiency is higher during upward trends than during downward trends in most of the stock markets in the whole sample period, and the opposite is true during financial crises. The Turkish stock market is the least inefficient during upward and downward trends. A-MF intensifies with an increase in scales. The evolution of excessive A-MF for MENA stock returns is heterogeneous. Most of the stock markets are more inefficient during a pandemic crisis than during an oil crash and other financial crises. However, the inefficiency of the Saudi Arabia and Qatar stock markets is highly sensitive to oil price crashes. Overall, the level of inefficiency varies across market trends, scales and stock markets and over time. The findings of this study provide investors and policymakers with valuable insights into efficient investment strategies, risk management and financial stability.

Originality/value

This paper first explores A-MF in the MENA emerging stock markets. The A-MF analysis provides useful information to investors regarding asset allocation, portfolio risk management and investment strategies during bullish and bearish market states. In addition, this paper examines A-MF under different turbulent periods, such as the GFC, the ESDC, the 2014–2016 oil crash and the COVID-19 pandemic.

Keywords

Acknowledgements

This research is partly funded by the University of Economics Ho Chi Minh City, Vietnam. The last author acknowledges the financial support by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF-2020S1A5B8103268).

Citation

Mensi, W., Yousaf, I., Vo, X.V. and Kang, S.H. (2023), "Multifractality during upside/downside trends in the MENA stock markets: the effects of the global financial crisis, oil crash and COVID-19 pandemic", International Journal of Emerging Markets, Vol. 18 No. 10, pp. 4408-4435. https://doi.org/10.1108/IJOEM-08-2021-1177

Publisher

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Emerald Publishing Limited

Copyright © 2021, Emerald Publishing Limited

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