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

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  • A. Sensoy
  • Benjamin Miranda 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

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File URL: http://www.bcb.gov.br/pec/wps/ingl/wps342.pdf
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Bibliographic Info

Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 342.

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Date of creation: Dec 2013
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Handle: RePEc:bcb:wpaper:342

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Web page: http://www.bcb.gov.br/?english

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