The Impact of Events on Long-Term Persistence of Global Stock Markets: Evidence from the CSI 300, HSI, and S&P 500

Bu Chen, Shan Wang and Lu Deng ()
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Bu Chen: Central University of Finance and Economics, School of Statistics and Mathematics
Shan Wang: Central University of Finance and Economics, School of Statistics and Mathematics
Lu Deng: Central University of Finance and Economics, School of Statistics and Mathematics

A chapter in Proceedings of the 2025 5th International Conference on Informatization Economic Development and Management (IEDM 2025), 2025, pp 95-101 from Springer

Abstract: Abstract This study takes the daily return series of the CSI 300 Index, HSI, and S&P 500 Index as the research object, investigating the changes in the long-term behavior persistence of global stock markets in response to major events. Using the ARFIMA model to estimate long-memory parameters and the Bai-Perron method to detect structural breaks, the results shows that long memory increases during periods of structural breaks, indicating reduced market efficiency. Further analysis reveals that the changes in the long-term behavior of global stock markets are not independent but are characterized by significant cross-market linkages. Specifically, major shocks such as financial crises, policy adjustments, natural disasters, and public health events not only induce structural breaks in individual markets but also lead to synchronized movements in global stock markets.

Keywords: Long-term behavior; Long memory; Structural breaks; ARFIMA (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-724-3_10

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DOI: 10.2991/978-94-6463-724-3_10

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