Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone

P. Anagnostidis, C. Varsakelis and C.J. Emmanouilides

Physica A: Statistical Mechanics and its Applications, 2016, vol. 447, issue C, 116-128

Abstract: In this paper, the impact of the 2008 financial crisis on the weak-form efficiency of twelve Eurozone stock markets is investigated empirically. Efficiency is tested via the Generalized Hurst Exponent method, while dynamic Hurst exponents are estimated by means of the rolling window technique. To account for biases associated with the finite sample size and the leptokurtosis of the financial data, the statistical significance of the Hurst exponent estimates is assessed through a series of Monte-Carlo simulations drawn from the class of α-stable distributions. According to our results, the 2008 crisis has adversely affected stock price efficiency in most of the Eurozone capital markets, leading to the emergence of significant mean-reverting patterns in stock price movements.

Keywords: Financial crisis; Stock market efficiency; Eurozone; Hurst exponent (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (60)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:447:y:2016:i:c:p:116-128

DOI: 10.1016/j.physa.2015.12.017

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