The impact of the financial crisis on the long-range memory of European corporate bond and stock markets

Lisana B. Martinez, M. Belén Guercio, Aurelio Fernandez Bariviera and Antonio Terceño
Additional contact information
Lisana B. Martinez: UNS-CONICET
M. Belén Guercio: UNS-CONICET
Antonio Terceño: Universitat Rovira i Virgili

Empirica, 2018, vol. 45, issue 1, No 1, 15 pages

Abstract: Abstract This paper investigates the presence of long memory in corporate bond and stock indices of six European Union countries from July 1998 to February 2015. We compute the Hurst exponent by means of the DFA method and using a sliding window in order to measure long range dependence. We detect that Hurst exponents behave differently in the stock and bond markets, being smoother in the stock indices than in the bond indices. We verify that the level of informational efficiency is time-varying. Moreover we find an asymmetric impact of the 2008 financial crisis in the fixed income and the stock markets, affecting the former but not the latter. Similar results are obtained using the R/S method.

Keywords: Hurst; DFA; Corporate bond indices; Stock indices; Financial crisis (search for similar items in EconPapers)
JEL-codes: C40 G14 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s10663-016-9340-8 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
Working Paper: The impact of the financial crisis on the long-range memory of European corporate bond and stock markets (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:empiri:v:45:y:2018:i:1:d:10.1007_s10663-016-9340-8

Ordering information: This journal article can be ordered from
http://www.springer. ... ration/journal/10663

DOI: 10.1007/s10663-016-9340-8

Access Statistics for this article

Empirica is currently edited by Fritz Breuss and Fritz Breuss

More articles in Empirica from Springer, Austrian Institute for Economic Research, Austrian Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().