Long-term memory in Euronext stock indexes returns: an econophysics approach
Journal Title: Business and Economic Horizons - Year 2018, Vol 14, Issue 4
Abstract
The purpose of paper is to assess the long-term memory of stock index returns in the pan-European platform Euronext (CAC-40, AEX, BEL-20 and PSI-20). We find evidence of time dependency in much of the data, suggesting that the series may best be described as fractional Brownian motion. Modified Rescaled-Range Analysis and Detrended Fluctuation Analysis were used to measure the degree of long memory. The global Hurst exponents evidence persistent long memory in the Dutch, Belgian and Portuguese markets. In the French market, evidence of long memory is inconsistent and weak. Fractal structure suggests non-conformity with the Efficient Market Hypothesis, and may compromise the reliability of asset pricing models. Furthermore, time-dependent Hurst exponents show evidence of weakening persistence in these markets, particularly after the international crises of 2000, 2002 and 2010. A possible explanation for those changes is that the markets may have matured over time, becoming more efficient after these severe events.
Authors and Affiliations
Luis M. P. Gomes, Vasco J. S. Soraes, Silvio M. A. Gama, Jose A. O. Matos
Keywords
Related Articles
- EP ID EP439414
- DOI 10.15208/beh.2018.59
- Views 108
- Downloads 0
Methodological approaches to assessment of the efficiency of business entities activity
The management of stable development of business entities requires the improvement of methodological approaches regarding their efficiency assessment. We think that the efficiency assessment should conduct a comparative...
Budget deficit and growth: in search of ceiling for Bangladesh
The impact of fiscal deficit measured by deficit in national budget on the growth of respective economy has been a widely researched area with plenty of debatable results. Shedding light in search of the optimum level of...
Examining the nexus between exchange rate volatility and export performance: Empirical evidence from the Egyptian experience
This paper investigates the relationship between exchange rate volatility and export performance of the Egyptian economy for the period (1980-2016). Moving average standard deviation and conditional standard deviation fr...
Microfinance training and the number of loans received by SMEs. An empirical evidence from emerging economy
The objective of this study is to examine the impact of Microfinance training, Trust and Social ties on the Number of loans received by small and medium-scale enterprises (SMEs) in developing economies. The Poisson regre...
Demographic structure and housing prices: East Asia and Europe
The recent booms in the global housing markets have been suspected to be bubbles owing to the weak economic circumstances after the 2008 financial crisis. While the behavioral economics stresses the role of irrational hu...