The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis

Financial Innovation

Table 5 Generalized Hurst exponents relevant to the aggregate and sectoral returns for q varying from − 5 to 5 for the GFC

q	RBIST	RINDUSTRIAL	RINFORMATION TECH	RFINANCIAL	RSERVICES	RMETALS	RTOURISM	RREAL ESTATE	RCHEMPETPLAS
− 5	0.7228	0.8878	0.7674	0.7007	0.6457	0.8749	0.8279	0.9494	0.8392
− 4	0.7079	0.8696	0.7435	0.685	0.6309	0.8541	0.8041	0.9336	0.8198
− 3	0.6904	0.8472	0.7141	0.667	0.614	0.8299	0.7753	0.9148	0.7962
− 2	0.6701	0.8194	0.6788	0.6463	0.5949	0.8026	0.7418	0.8924	0.7674
− 1	0.6466	0.7853	0.6486	0.6727	0.5736	0.7724	0.7051	0.8656	0.7328
0	0.6194	0.7447	0.5961	0.596	0.5499	0.7392	0.6672	0.8342	0.6924
1	0.5889	0.6999	0.5948	0.5661	0.524	0.7135	0.6299	0.7991	0.6474
2	0.5565	0.6554	0.5778	0.5838	0.4969	0.6665	0.5948	0.763	0.6011
3	0.5248	0.616	0.4863	0.5513	0.4699	0.6342	0.5634	0.7293	0.5577
4	0.4964	0.5834	0.4605	0.4714	0.445	0.5999	0.5365	0.7003	0.5204
5	0.4722	0.5573	0.4395	0.4457	0.4233	0.5738	0.5141	0.6763	0.4901