Long-Term Dependencies in Central European Stock Markets: A Crisp-Set Analysis

Rui Manuel Teixeira Dias, Mariana Chambino and Nicole Rebolo Horta
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Rui Manuel Teixeira Dias: Center for Studies and Advanced Training in Management and Economics (CEFAGE), University of Évora, Évora, Portugal
Mariana Chambino: School of Business and Administration, Polytechnic Institute of Setúbal, Setúbal, Portugal
Nicole Rebolo Horta: School of Business and Administration, Polytechnic Institute of Setúbal, Setúbal, Portugal

Economic Analysis Letters, 2023, vol. 2, issue 1, 10-17

Abstract: This paper intends to analyze efficiency, in its weak form, in the stock markets of Austria (ATX), Poland (WIG), the Czech Republic (PX Prague), Hungary (BUX), Croatia (CROBEX), Serbia (BELEX 15), Romania (BET), and Slovenia (SBI TOP), from February 16, 2018, to February 15, 2023. To achieve the research aim, we intend to answer the following research question: i) Have events in 2020 and 2022 heightened the persistence of Central European stock markets? Results suggest that persistence in returns has increased significantly during the first wave of Covid-19 and the Russian invasion in the year 2023, but we also saw that most stock markets already exhibit long memories, implying that the research question has been partially validated. This research can provide valuable insights to investors, policymakers, and others interested in financial risk management.

Keywords: Events of 2020 and 2022; Central European markets; Persistence in returns; Portfolio diversification (search for similar items in EconPapers)
Date: 2023
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