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

  • Dades identificatives

    Identificador: imarina:6388699
    Autors:
    Martinez LGuercio MBariviera ATerceño A
    Resum:
    © 2016, Springer Science+Business Media New York. 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.
  • Altres:

    Autor segons l'article: Martinez L; Guercio M; Bariviera A; Terceño A
    Departament: Gestió d'Empreses
    Autor/s de la URV: Fernández Bariviera, Aurelio / MARTÍNEZ, LISANA BELÉN / Terceño Gómez, Antonio
    Paraules clau: Time-series Term dependence Stock indices Spreads Returns Prices Interest-rates Informational efficiency Inefficiency Hurst¿s exponent Hurst parameter Hurst Financial crisis Emerging markets Dfa Detrended fluctuation analysis Corporate bonds Corporate bond indices
    Resum: © 2016, Springer Science+Business Media New York. 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.
    Àrees temàtiques: Geography, planning and development Economics and econometrics Economics Development Ciencias sociales
    Accès a la llicència d'ús: https://creativecommons.org/licenses/by/3.0/es/
    ISSN: 03408744
    Adreça de correu electrònic de l'autor: aurelio.fernandez@urv.cat antonio.terceno@urv.cat antonio.terceno@urv.cat
    Identificador de l'autor: 0000-0003-1014-1010 0000-0001-5348-8837 0000-0001-5348-8837
    Data d'alta del registre: 2024-09-07
    Versió de l'article dipositat: info:eu-repo/semantics/acceptedVersion
    Enllaç font original: https://link.springer.com/article/10.1007%2Fs10663-016-9340-8
    URL Document de llicència: https://repositori.urv.cat/ca/proteccio-de-dades/
    Referència a l'article segons font original: Empirica. 45 (1): 1-15
    Referència de l'ítem segons les normes APA: Martinez L; Guercio M; Bariviera A; Terceño A (2018). The impact of the financial crisis on the long-range memory of European corporate bond and stock markets. Empirica, 45(1), 1-15. DOI: 10.1007/s10663-016-9340-8
    DOI de l'article: 10.1007/s10663-016-9340-8
    Entitat: Universitat Rovira i Virgili
    Any de publicació de la revista: 2018
    Tipus de publicació: Journal Publications
  • Paraules clau:

    Development,Economics,Economics and Econometrics,Geography, Planning and Development
    Time-series
    Term dependence
    Stock indices
    Spreads
    Returns
    Prices
    Interest-rates
    Informational efficiency
    Inefficiency
    Hurst¿s exponent
    Hurst parameter
    Hurst
    Financial crisis
    Emerging markets
    Dfa
    Detrended fluctuation analysis
    Corporate bonds
    Corporate bond indices
    Geography, planning and development
    Economics and econometrics
    Economics
    Development
    Ciencias sociales
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