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THE EFFICIENCY OF SIN STOCKS: A MULTIFRACTAL ANALYSIS OF DRUG INDICES
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This study provides the first evidence of market efficiency of drug indices, especially cannabis and
tobacco, which are known in finance as sin markets. The multifractal detrended fluctuation analysis
(MFDFA) is employed on the daily data of six cannabis and one tobacco indices in order to measure
efficiency by quantifying the intensity of self-similarity. The findings confirm multifractality in all
sample series. Interestingly, Dow Jones Tobacco (DJUSTB) Index shows the highest multifractality,
demonstrating the lowest efficiency, whereas S&P/TSX Cannabis (SPTXCAN) Index is the most
efficient of all the time series under analysis, with the lowest multifractality levels. Only the North
American Marijuana (NAMMAR), Cannabis World Index Gross Total Return (CANWLDGR) and
DJUSTB show persistent behavior. These findings could be of interest to policymakers and regulators to establish new reforms to improve the efficiency of these markets, as well as for actual and
potential investors.
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Cannabis multifractal detrended fluctuation analysis multifractality sin markets tobacco