Long-range dependencies of Eastern European stock markets: A dynamic detrended analysis
Paulo Ferreira ()
Physica A: Statistical Mechanics and its Applications, 2018, vol. 505, issue C, 454-470
The analysis of stock markets’ behaviour remains a very interesting issue, because it can give investors information about where to apply their money. In this context, a dynamic analysis of 18 Eastern European stock markets is performed, using a sliding windows detrended fluctuation analysis, which will fill a gap in the literature with the inclusion in this study of a larger sample. The results show that most indices are distant from the absence of long-range dependencies, which could be seen as inefficiency. Nevertheless, some countries show a decrease in dependence levels over time, namely the Hungarian, Czech and Polish indices. When compared with other more developed markets, these and Latvia are the only ones to show similar behaviour, regarding the existence of long-range dependencies. This could be related to more developed economic structures as well as the financial system, probably associated with joining the European Union. However, other current European Union members, such as Bulgaria, Slovenia and Lithuania do not show this pattern.
Keywords: Detrended fluctuation analysis; Eastern European stock markets; Long-range dependencies (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:505:y:2018:i:c:p:454-470
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