Empirica – Journal of European Economics

Sponsored by the Austrian Economic Association and the Austrian Institute of Economic Research

Empirica publishes empirical and theoretical work on all economic aspects of European Integration. The topics may range from all challenges concerning the deepening of the European Union (Single Market, Lisbon Agenda, EMU) to enlargement and the external relations of the EU (globalisation).

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Lisana B. Martinez, M. Belén Guercio, Aurelio Fernandez Bariviera
The impact of the financial crisis on the long-range memory of European corporate bond and stock markets
Empirica, 2018, 45(1), pp.1-15, http://www.springer.com/10663
This paper investigates the presence of long memory in corporate bond and stock indices of six EU 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.
JEL-Codes:G14 C40
Keywords:Hurst, DFA, Corporate bond indices, Stock indices, Financial crisis
Research group:Macroeconomics and Public Finance
Language:English
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Managing Editor
Harald Oberhoferback to list

Univ.-Prof. MMag. Dr. Harald Oberhofer

Function: Senior Economist, Editor-in-Chief Empirica
Research groups: Industrial, Innovation and International Economics