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Please use this identifier to cite or link to this item: https://digital.lib.ueh.edu.vn/handle/UEH/63771
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dc.contributor.authorWalid Mensi-
dc.contributor.otherVo Xuan Vinh-
dc.contributor.otherSang Hoon Kang-
dc.date.accessioned2022-06-29T02:31:12Z-
dc.date.available2022-06-29T02:31:12Z-
dc.date.issued2022-
dc.identifier.issn0301-4207-
dc.identifier.urihttp://digital.lib.ueh.edu.vn/handle/UEH/63771-
dc.description.abstractThis study investigates the multifractality behavior, time-varying efficiency, and long memory in leading precious and industrial metals futures markets. We use Hurst exponent and an asymmetric multifractal detrended fluctuations analysis (A-MF-DFA). We show significant asymmetric multifractality. Moreover, gold has the lowest asymmetric multifractality behavior and silver experiences the highest magnitude of asymmetric multifractality. All metals markets show persistence under negative scales and anti-persistence at positive scales. Precious metals are more inefficient in a downward trend before and during the 2008 global financial crisis and European sovereign debt crisis (GFC and ESDC) and during the oil crisis. Industrial metals are highly inefficient in a downward trend before and during the GFC and ESDC and the recovery period, while the resuxlts are mixed during the oil crisis.en
dc.formatPortable Document Format (PDF)-
dc.language.isoeng-
dc.publisherElsevier Ltd.-
dc.relation.ispartofResources Policy-
dc.relation.ispartofseriesVol. 76-
dc.rightsElsevier Ltd.-
dc.subjectMetals futures marketsen
dc.subjectMultifractalityen
dc.subjectEfficiencyen
dc.subjectFinancial and energy crisesen
dc.subjectAsymmetric MF-DFAen
dc.titleUpward/downward multifractality and efficiency in metals futures markets: The impacts of financial and oil crisesen
dc.typeJournal Articleen
dc.identifier.doihttps://doi.org/10.1016/j.resourpol.2022.102645-
ueh.JournalRankingScopus, ISI-
item.cerifentitytypePublications-
item.grantfulltextnone-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.fulltextOnly abstracts-
item.languageiso639-1en-
item.openairetypeJournal Article-
Appears in Collections:INTERNATIONAL PUBLICATIONS
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