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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.
Research group:Macroeconomics and European Economic Policy