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

This study aims to examine the time-varying efficiency of the Turkish stock market’s major stock index and eight sectoral indices,including the industrial,financial,service,information technology,basic metals,tourism,real estate investment,and chemical petrol plastic,during the COVID-19 outbreak and the global financial crisis(GFC)within the framework of the adaptive market hypothesis.This study employs multifractal detrended fluctuation analysis to illustrate these sectors’multifractality and short-and long-term dependence.The results show that all sectoral returns have greater persis-tence during the COVID-19 outbreak than during the GFC.Second,the real estate and information technology industries had the lowest levels of efficiency during the GFC and the COVID-19 outbreak.Lastly,the fat-tailed distribution has a greater effect on multifractality in these industries.Our results validate the conclusions of the adaptive market hypothesis,according to which arbitrage opportunities vary over time,and contribute to policy formulation for future outbreak-induced economic crises.