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

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  • 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
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    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. 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.
    3. 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.
    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. 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.

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