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

被引：6
|
作者：
Martinez, Lisana B. [1 ,3 ]
Belen Guercio, M. [1 ,3 ]
Fernandez Bariviera, Aurelio [2 ]
Terceno, Antonio [2 ]
机构：
[1] UNS CONICET, Inst Invest Econ & Sociales Sur, Bahia Blanca, Buenos Aires, Argentina
[2] Univ Rovira i Virgili, Dept Business, Av Univ 1, Reus 43204, Spain
[3] Univ Prov Sudoeste UPSO, Alvarado 328,B8000CJH, Bahia Blanca, Buenos Aires, Argentina
来源：
EMPIRICA | 2018年 / 45卷 / 01期
关键词：
Hurst; DFA; Corporate bond indices; Stock indices; Financial crisis; TIME-SERIES; INFORMATIONAL EFFICIENCY; EMERGING MARKETS; TERM DEPENDENCE; HURST PARAMETER; INTEREST-RATES; RETURNS; PRICES; SPREADS; INEFFICIENCY;
D O I：
10.1007/s10663-016-9340-8
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
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页码：1 / 15
页数：15
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