Table 7 The MF-DFA rankings of the aggregate and sectoral market returns, which indicates the measure of market efficiency using MDM
The GFC | The COVID-19 outbreak | ||||
|---|---|---|---|---|---|
Ranking | Sector | MDM | Ranking | Sector | MDM |
h(q): − 5,5 | |||||
1 | RREALESTATE | 0.3128 | 1 | RINFORMATIONTECH | 0.2878 |
2 | RMETALS | 0.2243 | 2 | RTOURISM | 0.2709 |
3 | RINDUSTRIAL | 0.2225 | 3 | RINDUSTRIAL | 0.2639 |
4 | RCHEMPETPLAS | 0.1745 | 4 | RBIST | 0.2568 |
5 | RTOURISM | 0.1710 | 5 | RFINANCIAL | 0.2542 |
6 | RINFORMATIONTECH | 0.1639 | 6 | RSERVICES | 0.2168 |
7 | RFINANCIAL | 0.1275 | 7 | RCHEMPETPLAS | 0.2098 |
8 | RBIST | 0.1253 | 8 | RREALESTATE | 0.1973 |
9 | RSERVICES | 0.1112 | 9 | RMETALS | 0.1532 |
h(q): − 4,4 | |||||
1 | RREALESTATE | 0.3169 | 1 | RINFORMATIONTECH | 0.293 |
2 | RMETALS | 0.227 | 2 | RTOURISM | 0.2792 |
3 | RINDUSTRIAL | 0.2265 | 3 | RINDUSTRIAL | 0.2685 |
4 | RCHEMPETPLAS | 0.1798 | 4 | RBIST | 0.2601 |
5 | RTOURISM | 0.1703 | 5 | RFINANCIAL | 0.256 |
6 | RINFORMATIONTECH | 0.1415 | 6 | RSERVICES | 0.2208 |
7 | RFINANCIAL | 0.1068 | 7 | RCHEMPETPLAS | 0.2169 |
8 | RBIST | 0.1057 | 8 | RREALESTATE | 0.2060 |
9 | RSERVICES | 0.0929 | 9 | RMETALS | 0.1307 |
h(q): − 3,3 | |||||
1 | RREALESTATE | 0.3220 | 1 | RINFORMATIONTECH | 0.2998 |
2 | RMETALS | 0.2320 | 2 | RTOURISM | 0.2906 |
3 | RINDUSTRIAL | 0.2316 | 3 | RINDUSTRIAL | 0.2750 |
4 | RCHEMPETPLAS | 0.1769 | 4 | RBIST | 0.2645 |
5 | RTOURISM | 0.1693 | 5 | RFINANCIAL | 0.258 |
6 | RINFORMATIONTECH | 0.1139 | 6 | RSERVICES | 0.226 |
7 | RFINANCIAL | 0.1091 | 7 | RCHEMPETPLAS | 0,226 |
8 | RBIST | 0.1076 | 8 | RREALESTATE | 0.2188 |
9 | RSERVICES | 0.0720 | 9 | RMETALS | 0.1038 |
h(q): − 2,2 | |||||
1 | RREALESTATE | 0.3277 | 1 | RINFORMATIONTECH | 0.3075 |
2 | RMETALS | 0.2345 | 2 | RTOURISM | 0.3045 |
3 | RINDUSTRIAL | 0.2374 | 3 | RINDUSTRIAL | 0.2831 |
4 | RCHEMPETPLAS | 0.1842 | 4 | RBIST | 0.2694 |
5 | RTOURISM | 0.1683 | 5 | RFINANCIAL | 0,2600 |
6 | RINFORMATIONTECH | 0.1283 | 6 | RSERVICES | 0.2319 |
7 | RFINANCIAL | 0.1150 | 7 | RCHEMPETPLAS | 0.2365 |
8 | RBIST | 0.1133 | 8 | RREALESTATE | 0.2357 |
9 | RSERVICES | 0.049 | 9 | RMETALS | 0.086 |
h(q): − 1,1 | |||||
1 | RREALESTATE | 0.3323 | 1 | RINFORMATIONTECH | 0.3188 |
2 | RMETALS | 0.2429 | 2 | RTOURISM | 0.3169 |
3 | RINDUSTRIAL | 0.2426 | 3 | RINDUSTRIAL | 0.2906 |
4 | RCHEMPETPLAS | 0.1901 | 4 | RBIST | 0.2735 |
5 | RTOURISM | 0.1675 | 5 | RFINANCIAL | 0.2615 |
6 | RINFORMATIONTECH | 0.1217 | 6 | RSERVICES | 0.2368 |
7 | RFINANCIAL | 0.1194 | 7 | RCHEMPETPLAS | 0.2353 |
8 | RBIST | 0.1177 | 8 | RREALESTATE | 0.2522 |
9 | RSERVICES | 0.0488 | 9 | RMETALS | 0.0877 |