Time-varying long term memory in the European Union stock markets

Ahmet Sensoy and Benjamin Tabak

Physica A: Statistical Mechanics and its Applications, 2015, vol. 436, issue C, 147-158

Abstract: This paper proposes a new efficiency index to model time-varying inefficiency in stock markets. We focus on European stock markets and show that they have different degrees of time-varying efficiency. We observe that the 2008 global financial crisis has an adverse effect on almost all EU stock markets. However, the Eurozone sovereign debt crisis has a significant adverse effect only on the markets in France, Spain and Greece. For the late members, joining EU does not have a uniform effect on stock market efficiency. Our results have important implications for policy makers, investors, risk managers and academics.

Keywords: Long memory; European Union; Stock market efficiency; Generalized Hurst exponent; Financial crisis (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:436:y:2015:i:c:p:147-158

DOI: 10.1016/j.physa.2015.05.034

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