IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v19y2012i10p953-957.html
   My bibliography  Save this article

Time-varying long-range dependence in stock market returns and financial market disruptions -- a case of eight European countries

Author

Listed:
  • Silvo Dajcman

Abstract

The long-range dependence (or long memory) in stock market returns has many implications for modern financial economics. The existent empirical studies on long-range dependence in stock market returns, however, do not examine it on a dynamical basis. In this article we applied a rolling window approach to prove that long-range dependence parameter for eight European stock market returns is time-varying. Our findings show that sharp, but temporary, increases of long-range dependence parameter for investigated stock market returns in the period October 1999 to April 2011 coincided with the major financial market disruptions in the world and Europe.

Suggested Citation

  • Silvo Dajcman, 2012. "Time-varying long-range dependence in stock market returns and financial market disruptions -- a case of eight European countries," Applied Economics Letters, Taylor & Francis Journals, vol. 19(10), pages 953-957, July.
    • Handle: RePEc:taf:apeclt:v:19:y:2012:i:10:p:953-957
    DOI: 10.1080/13504851.2011.608637
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2011.608637
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2011.608637?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Assaf, Ata, 2016. "MENA stock market volatility persistence: Evidence before and after the financial crisis of 2008," Research in International Business and Finance, Elsevier, vol. 36(C), pages 222-240.
    2. Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "COVID-19 and stock returns: Evidence from the Markov switching dependence approach," Research in International Business and Finance, Elsevier, vol. 64(C).
    3. Matthias Jonas & Piotr Żebrowski, 2019. "The crux with reducing emissions in the long-term: The underestimated “now” versus the overestimated “then”," Mitigation and Adaptation Strategies for Global Change, Springer, vol. 24(6), pages 1169-1190, August.
    4. Nanying Wang & Jack E. Houston, 2016. "The Co-Movement between Non-GM and GM Soybean Prices in China: Evidence from Dalian Futures Market (2004-2014)," Applied Economics and Finance, Redfame publishing, vol. 3(4), pages 37-47, November.
    5. Wang, Nanying & Houston, Jack, 2015. "The Comovement between Non-GM and GM Soybean Price in China: Evidence from Dalian Futures Market," 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia 196775, Southern Agricultural Economics Association.
    6. Wang, Nanying & Houston, Jack E., 2015. "The Co-movement between Non-GM and GM Soybean Price in China: Evidence from China Futures Market," 2015 Conference, August 9-14, 2015, Milan, Italy 211914, International Association of Agricultural Economists.
    7. Paulo Ferreira, 2020. "Dynamic long-range dependences in the Swiss stock market," Empirical Economics, Springer, vol. 58(4), pages 1541-1573, April.
    8. Pece Andreea Maria & Ludusan (Corovei) Emilia Anuta & Mutu Simona, 2013. "Testing The Long Range-Dependence For The Central Eastern European And The Balkans Stock Markets," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 1113-1124, July.
    9. Bikramaditya Ghosh & Spyros Papathanasiou & Dimitrios Kenourgios, 2022. "Cross-Country Linkages and Asymmetries of Sovereign Risk Pluralistic Investigation of CDS Spreads," Sustainability, MDPI, vol. 14(21), pages 1-10, October.
    10. Bickley, Steve J. & Brumpton, Martin & Chan, Ho Fai & Colthurst, Richard & Torgler, Benno, 2021. "The stabilizing effect of social distancing: Cross-country differences in financial market response to COVID-19 pandemic policies," Research in International Business and Finance, Elsevier, vol. 58(C).
    11. Xiaojing Xi & Rogemar Mamon, 2014. "Capturing the Regime-Switching and Memory Properties of Interest Rates," Computational Economics, Springer;Society for Computational Economics, vol. 44(3), pages 307-337, October.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:19:y:2012:i:10:p:953-957. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.