The Multifractal Phenomenon of Stock Price Caused by "Tesla Rights Defense Event"

In this paper, we explore the periodicity of the multifractal phenomenon of stock price caused by public relations events using the multifractal detrended fluctuation analysis (MF-DFA) method. The Tesla stock closing price in the context of the Tesla rights defense event is used to obtain the generalized Hurst exponent and multifractal spectrum. We find that the stock price exhibits multifractal characteristics. Afterwards, we conduct a multifractal time-varying analysis using high-frequency data for 12 time periods before and after the Tesla rights defense event, which happened on 19 April 2021. We calculate the Delta h and Delta alpha before and after the rights defense event to measure the degree of multifractal of Tesla stock price. In addition, we also compute the difference between the two Delta h and two Delta alpha, which are regarded as D1 and D2. The results show that the Tesla stock market efficiency degree raised as the period time increases until the eighth period. And after the eighth period, both D1 and D2 tend to be stable, and the degree of market efficiency caused by the Tesla rights defense event remains almost unchanged. In addition, we use three broad market indices in the context of the Russia-Ukraine conflict to test the universality. The three broad market indices are Dow Jones Industrial Average (DJIA), Shanghai Stock Exchange Composite Index (SSEC) and Nikkei 225 ETF (N225). The results demonstrate that with the extending of time period, D1 and D2 gradually stabilize, indicating that public memorability will diminish and the market efficiency almost remains unchanged.