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

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

Empirica

Springer

Año: 2018 vol. 45 p. 1 - 15

This paper investigates the presence of long memory in corporate 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 dierently in the stock and bond markets, being smoother in the stock indices than in the bond indices. We verify that the level of informational eciency is time-varying. Moreover we nd an asymmetric impact of the 2008 nancial crisis in the xed income and the stock markets, aecting the former but not the latter. Similar results are obtained using the R/S method.