Articles producció científica> Gestió d'Empreses

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

  • Identification data

    Identifier: imarina:6388699
    Handle: https://hdl.handle.net/20.500.11797/imarina6388699
    Authors:
    Martinez LGuercio MBariviera ATerceño A
    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.

  • Others:

    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: aurelio.fernandez@urv.cat antonio.terceno@urv.cat antonio.terceno@urv.cat
    Author identifier: 0000-0003-1014-1010 0000-0001-5348-8837 0000-0001-5348-8837
    Record's date: 2024-09-07
    Papper version: info:eu-repo/semantics/acceptedVersion
    Licence document URL: https://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
    Entity: Universitat Rovira i Virgili
    Journal publication year: 2018
    Publication Type: Journal Publications

  • Keywords:

    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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