The Impact of the Financial Crisis on the Long-Range Memory of European Corporate Bond and Stock Markets

19 Pages Posted: 23 May 2016

See all articles by Lisana B. Martinez

Lisana B. Martinez

National University of the South - Instituto de Investigaciones Económicas y Sociales del Sur (IIESS)

M. Belén Guercio

Independent; National University of the South - Instituto de Investigaciones Económicas y Sociales del Sur (IIESS)

Aurelio F. Bariviera

Rovira i Virgili University - Department of Business

Antonio Terceño

Rovira i Virgili University - Department of Business

Date Written: May 21, 2016

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

JEL Classification: G14, C40

Suggested Citation

Martinez, Lisana B. and Guercio, M. Belén and Guercio, M. Belén and Bariviera, Aurelio F. and Terceño, Antonio, The Impact of the Financial Crisis on the Long-Range Memory of European Corporate Bond and Stock Markets (May 21, 2016). Emprica, Journal of Applied Economics and Economic Policy, 2016, Available at SSRN: https://ssrn.com/abstract=2782885

Lisana B. Martinez

National University of the South - Instituto de Investigaciones Económicas y Sociales del Sur (IIESS) ( email )

12 de Octubre y San Juan
7th. floor
Bahía Blanca, 8000
Argentina

M. Belén Guercio

Independent ( email )

National University of the South - Instituto de Investigaciones Económicas y Sociales del Sur (IIESS) ( email )

12 de Octubre y San Juan
7th. floor
Bahía Blanca, 8000
Argentina

Aurelio F. Bariviera (Contact Author)

Rovira i Virgili University - Department of Business ( email )

Av. Universitat, 1
Reus, Tarragona 43204
Spain
+34 977759833 (Phone)
+34 977759810 (Fax)

HOME PAGE: http://www.aureliofernandez.net

Antonio Terceño

Rovira i Virgili University - Department of Business ( email )

Av. Universitat, 1
Reus, Tarragona 43204
Spain

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