Hafiz Khalique Ur Rehman VirkCIIT/FA19-RMS-009/LHRCIIT/FA19-RMS-009/LHR2026-03-162022https://repository.cuilahore.edu.pk/handle/123456789/2875This 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.en-USCapturing Differential in the Behavior of Forex and Equity Markets’ Participants using MF-DFAThesis