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Long-Term Dependencies in Central European Stock Markets: A Crisp-Set Analysis

Author

Listed:
  • Rui Manuel Teixeira Dias

    (Center for Studies and Advanced Training in Management and Economics (CEFAGE), University of Évora, Évora, Portugal)

  • Mariana Chambino

    (School of Business and Administration, Polytechnic Institute of Setúbal, Setúbal, Portugal)

  • Nicole Rebolo Horta

    (School of Business and Administration, Polytechnic Institute of Setúbal, Setúbal, Portugal)

Abstract

This paper intends to analyze efficiency, in its weak form, in the stock markets of Austria (ATX), Poland (WIG), the Czech Republic (PX Prague), Hungary (BUX), Croatia (CROBEX), Serbia (BELEX 15), Romania (BET), and Slovenia (SBI TOP), from February 16, 2018, to February 15, 2023. To achieve the research aim, we intend to answer the following research question: i) Have events in 2020 and 2022 heightened the persistence of Central European stock markets? Results suggest that persistence in returns has increased significantly during the first wave of Covid-19 and the Russian invasion in the year 2023, but we also saw that most stock markets already exhibit long memories, implying that the research question has been partially validated. This research can provide valuable insights to investors, policymakers, and others interested in financial risk management.

Suggested Citation

  • Rui Manuel Teixeira Dias & Mariana Chambino & Nicole Rebolo Horta, 2023. "Long-Term Dependencies in Central European Stock Markets: A Crisp-Set Analysis," Economic Analysis Letters, Anser Press, vol. 2(1), pages 10-17, March.
    • Handle: RePEc:bba:j00004:v:2:y:2023:i:1:p:10-17:d:74
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    References listed on IDEAS

    as
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    4. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
    5. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
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