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

Yıl 2023, , 27 - 46, 28.04.2023

Onur Özdemir

https://doi.org/10.17233/sosyoekonomi.2023.02.02

Öz

This study assesses how the coronavirus pandemic (COVID-19) affects the 5-day week multifractal properties of five vaccine stocks (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 (i.e., 9 December 2019 - 8 December 2020) and post-vaccination (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 (inefficiency) index value is also attributed to BioNTech before and after the COVID-19 vaccination process.

Anahtar Kelimeler

Vaccine Stocks, Efficiency Index, Generalised Hurst Exponent, Herding Behaviour, COVID-19

COVID-19 Pandemisinde En Üst Koronavirüs Aşı Hisselerinin Performansı: Çoklu Fraktal Analiz

Öz

Bu çalışma, 9 Aralık 2019-6 Ocak 2022 arasında beş aşı hissesinin (Pfizer, BioNTech, Moderna, Johnson&Johnson ve AstraZeneca) koronavirüs pandemisinde işgünü haftalık verileri temelinde çoklu fraktal özelliklerinin nasıl etkilendiğini araştırmaktadır. Çalışmanın temel amacı sürü yatırımının ve piyasa etkinlik düzeyinin aşılama dönemi öncesinde (9 Aralık 2019 - 8 Aralık 2020) ve sonrasında (9 Aralık 2020 - 6 Ocak 2022) değişiminin varlığını ortaya koymaktır. Genelleştirilmiş Hurst üsleri çoklu fraktal eğiliminden arındırılmış dalgalanma analizi yoluyla hesaplanmaktadır. Genel olarak, ampirik sonuçlar COVID-19 salgını sırasında her aşı hissesi için çoklu fraktal varlığın mevcut olduğunu göstermektedir. Ayrıca çoklu fraktal özelliklere göre etkinlik düzeyi aşı hisseleri arasında farklılık göstermektedir. Elde edilen sonuçlar aşılama sonrası dönemin BioNTech ve Moderna hisse senetleri için sürü yatırımına daha yatkın olduğunu göstermektedir. Güncel salgının etkileri göz önüne alındığında COVID-19 aşılama sürecinin öncesi ve sonrasında en yüksek MLM (etkinsizlik) indeks değerinin BioNTech’e ait olduğu ortaya konmaktadır.

Anahtar Kelimeler

Aşı Hisseleri, Etkinsizlik Endeksi, Genelleştirilmiş Hurst Üssü, Sürü Davranışı, COVID-19

Kaynakça

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