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

Listed author(s):
  • Sensoy, Ahmet
  • Tabak, Benjamin M.

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.

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File URL: http://www.sciencedirect.com/science/article/pii/S0378437115004495
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Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 436 (2015)
Issue (Month): C ()
Pages: 147-158

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Handle: RePEc:eee:phsmap:v:436:y:2015:i:c:p:147-158
DOI: 10.1016/j.physa.2015.05.034
Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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