Abstract:
This study explored the robustness of market efficiency levels across the regional structure of
the global economy covering leading forex markets and their corresponding equities market
indices. High-frequency datasets (i.e., 15-Minutes interval) of price return variations with a
sample period of 01/01/2018 to 31/12/2019 (as pre COVID19-announcement period) and
01/01/2020 to 31/12/2021 (as post COVID19-announcement period) were used by screening
out the multiple seasonality patterns (i.e., hourly, daily, and weekly) employing MSTL
approach using LOESS followed by MF-DFA. MF-DFA findings of this study indicated the
increased market inefficiency levels for EUR and CHF in the post-COVID-19 period. On the
other note, EU 50 index and Japan 200 index revealed a transition from the persistence
properties in the pre COVID-19 period to the geometric random walk during the post
COVID-19 period. However, CNH, EUR, JPY, and GBP forex pairs and China A50 index
exhibited no change in persistence trend during pre and post-COVID-19 periods. Europe and
Japan were the only exceptions in the comparative plot of forex pairs and equity indices,
where the direction of the pattern of the market efficiency transition between ppost-COVID 19OVID-19 periods did not correspond between forex markets and equity indices, signaling
an opportunity for financial markets’ participants to adjust their investing and trading
strategies accordingly. The empirically validated findings of this study not only highlight the
suitability for investors and traders to shape their quantitative trading and other strategies, but
regulators alike in their adjustment reforms to improve financial market systems. However, to
make robust policy, investment, and trading decisions, knowledge of inefficiency levels and
long memory effects alone is insufficient. Equally important is appreciation about the
sentiments as expressed through the trading behavior of markets' participants. This study
found a lack of consensus in generalizing the heterogeneous behavior of markets'
participants across different markets, despite the fact that this study witnessed the
manifestation of participants' behavior in returns dynamics using inefficiency levels and long
memory effects.
