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.
Forschungsbereich:Makroökonomie und europäische Wirtschaftspolitik