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How much random does European Union walk? A time-varying long memory analysis

Author

Listed:
  • A. Sensoy
  • Benjamin M. Tabak
Abstract
This paper proposes a new efficiency index to model time-varying inefficiency in stock markets. We focus on European stock markets and show that they have different degrees of time-varying efficiency. We observe that the 2008 global financial crisis has had an adverse effect on almost all EU stock markets. However, the Eurozone sovereign debt crisis has had a significant adverse effect only on the markets in France, Spain and Greece. For the late members, joining EU does not have a uniform effect on stock market efficiency. Our results have important implications for policy makers, investors, risk managers and academics.

Suggested Citation

  • A. Sensoy & Benjamin M. Tabak, 2013. "How much random does European Union walk? A time-varying long memory analysis," Working Papers Series 342, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:342
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    File URL: https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps342.pdf
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    References listed on IDEAS

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    Cited by:

    1. Pece Andreea Maria & Mihut Ioana Sorina & Oros Olivera Ecaterina, 2014. "The Impact Of The Financial Crisis On Long Memory: Evidence From European Banking Indices," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 781-788, July.

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