Author, as appears in the article.: Martinez L; Guercio M; Bariviera A; Terceño A

Department: Gestió d'Empreses

URV's Author/s: Fernández Bariviera, Aurelio / MARTÍNEZ, LISANA BELÉN / Terceño Gómez, Antonio

Keywords: 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

Abstract: © 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.

Thematic Areas: Geography, planning and development Economics and econometrics Economics Development Ciencias sociales

licence for use: https://creativecommons.org/licenses/by/3.0/es/

ISSN: 03408744

Author's mail: antonio.terceno@urv.cat aurelio.fernandez@urv.cat

Author identifier: 0000-0001-5348-8837 0000-0003-1014-1010

Record's date: 2023-04-01

Papper version: info:eu-repo/semantics/acceptedVersion

Link to the original source: https://link.springer.com/article/10.1007%2Fs10663-016-9340-8

Licence document URL: http://repositori.urv.cat/ca/proteccio-de-dades/

Papper original source: Empirica. 45 (1): 1-15

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

Article's DOI: 10.1007/s10663-016-9340-8

Entity: Universitat Rovira i Virgili

Journal publication year: 2018

Publication Type: Journal Publications