Time-varying long-range dependence in stock market returns and financial market disruptions -- a case of eight European countries

Silvo Dajcman

Applied Economics Letters, 2012, vol. 19, issue 10, 953-957

Abstract: The long-range dependence (or long memory) in stock market returns has many implications for modern financial economics. The existent empirical studies on long-range dependence in stock market returns, however, do not examine it on a dynamical basis. In this article we applied a rolling window approach to prove that long-range dependence parameter for eight European stock market returns is time-varying. Our findings show that sharp, but temporary, increases of long-range dependence parameter for investigated stock market returns in the period October 1999 to April 2011 coincided with the major financial market disruptions in the world and Europe.

Date: 2012
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DOI: 10.1080/13504851.2011.608637

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