The Performance of Top Coronavirus Vaccine Stocks during COVID-19 Pandemic: A Multifractal Analysis

Authors : Onur ÖZDEMİR

Pages : 27-46

Doi:10.17233/sosyoekonomi.2023.02.02

View : 22 | Download : 10

Publication Date : 2023-04-28

Article Type : Research Paper

Abstract :This study assesses how the coronavirus pandemic insert ignore into journalissuearticles values(COVID-19); affects the 5-day week multifractal properties of five vaccine stocks insert ignore into journalissuearticles values(i.e., Pfizer, BioNTech, Moderna, Johnson&Johnson, and AstraZeneca); using weekday index data ranging from 9 December 2019 to 6 January 2022. The main concern is to document whether the presence of herd investing and the level of market efficiency changed between pre-vaccination insert ignore into journalissuearticles values(i.e., 9 December 2019 - 8 December 2020); and post-vaccination insert ignore into journalissuearticles values(i.e., 9 December 2020 - 6 January 2022);. The generalised Hurst exponents are calculated through multifractal detrended fluctuation analysis. Overall, the empirical results show multifractality for each vaccine stock during the COVID-19 outbreak. Besides, the efficiency level differs among the vaccine stocks based on multifractal properties. The results indicate that the post-vaccination period is more prone to herd investing in BioNTech and Moderna stocks. Considering the impacts of this far-reaching outbreak, the highest MLM insert ignore into journalissuearticles values(inefficiency); index value is also attributed to BioNTech before and after the COVID-19 vaccination process.
Keywords : Aşı Hisseleri, Etkinsizlik Endeksi, Genelleştirilmiş Hurst Üssü, Sürü Davranışı, COVID 19