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Time-varying long term memory in the European Union stock markets

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  • Sensoy, Ahmet
  • Tabak, Benjamin M.

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 an adverse effect on almost all EU stock markets. However, the Eurozone sovereign debt crisis has 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

  • Sensoy, Ahmet & Tabak, Benjamin M., 2015. "Time-varying long term memory in the European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 147-158.
    • Handle: RePEc:eee:phsmap:v:436:y:2015:i:c:p:147-158
    DOI: 10.1016/j.physa.2015.05.034
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