Herding behavior during the Covid-19 pandemic: a comparison between Asian and European stock markets based on intraday multifractality

With the spread of Covid-19, investors’ expectations changed during 2020, as well financial markets’ policy responses and structure global intermediation itself. These dynamics are studied in this paper, which analyzes quarterly changes herding behavior by quantifying self-similarity intensity six stock markets Asia Europe. A multifractal detrended fluctuation analysis (MFDFA) is applied, using intraday trade prices with a 15-min frequency from Jan-2020 to Dec-2020. The empirical results confirm that Covid-19 had significant impact on efficiency under study, although varying impact. During first quarter year, European remained efficient compared Asian markets; subsequent two quarters, Chinese market showed improvement its became least inefficient market, decline UK Japan. Furthermore, more sensitive asset losses than markets, so investors likely show former. Herding was at peak 2nd 2020. findings could be related possible inefficiencies behavior, implying possibility forming profitable trading strategies.