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

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Özdemir O.

SOSYOEKONOMI, vol.31, no.56, pp.27-46, 2023 (ESCI)

  • Publication Type: Article / Article
  • Volume: 31 Issue: 56
  • Publication Date: 2023
  • Journal Name: SOSYOEKONOMI
  • Journal Indexes: Emerging Sources Citation Index (ESCI)
  • Page Numbers: pp.27-46
  • Istanbul Gelisim University Affiliated: Yes


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.