The impact of 2008 financial crisis on the efficiency and contagion of Asian stock markets: A Hurst exponent approach

Xiaoye Jin

Finance Research Letters, 2016, vol. 17, issue C, 167-175

Abstract: This study analyzes the dynamics of the Hurst exponent of the Asian stock markets returns in the context of the 2008 financial crisis. Using the Hurst exponents calculated with the MFDMA algorithm, we find that most of the returns exhibit a long memory in the 2008 financial crisis period but not in the tranquil periods, indicating that the 2008 financial crisis has adversely affected the efficiency of Asian stock markets. Then, applying the copula models, we find that there is a significant increase in correlation between the local Hurst exponents of several markets, indicating the existence of financial contagion.

Keywords: Hurst exponent; Financial crisis; Financial contagion; MFDMA algorithm; Copula models (search for similar items in EconPapers)
JEL-codes: E44 F30 G14 G15 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:17:y:2016:i:c:p:167-175

DOI: 10.1016/j.frl.2016.03.004

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