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

MARTINEZ, LISANA B.; GUERCIO, M. BELÉN; BARIVIERA, AURELIO FERNANDEZ; TERCEÑO, ANTONIO

Empirica

Springer New York LLC

Lugar: New York ; Año: 2018 p. 1 - 15

0340-8744

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.