The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion

Horta, Paulo; Lagoa, Sérgio; Martins, Luís F.

doi:10.1016/j.irfa.2014.08.002

Cited by 77 publications

(52 citation statements)

References 35 publications

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“…[52,53]) and the level of interdependence (i.e., market comovements) [52]. It is worth mentioning that Smith [6], Horta et al [8] and Sensoy and Tabak [7] also found mixed results for the European Union countries during the 2008-crisis, in terms of market efficiency. In conclusion, the delineation of possible factors that trigger market efficiency (or inefficiency) is not deemed as a definitive answer and further empirical research in this direction is warranted.…”

Section: Groupmentioning

confidence: 96%

“…More specifically, the authors found significant mean-reverting and long memory patterns in stock prices for the developed and the emerging European markets, respectively. Also, Horta et al [8] reported deviations from the random walk hypothesis for several European Union stock markets, employing the MF-DFA method. Their results, however, suggest that these deviations are consistent with the presence of long memory, in contrast to the mean reverting patterns reported herein.…”

Section: Groupmentioning

confidence: 99%

“…Furthermore, Sensoy and Tabak [7] found that stock market efficiency was negatively affected by the 2008 crisis in the majority of the European Union countries. Similarly, Horta et al [8] examined several European markets, alongside US and Japan, and found that in the course of the 2008 crisis stock market efficiency deteriorated, whereas stock price movements became more random in the subsequent years.…”

Section: Introductionmentioning

confidence: 99%

“…[9][10][11][12][13][14][15][16][17][18][19]). To this extent, an important aspect of the utilized methodology is that, to avoid potential finite sample biases, the statistical significance of the estimated Hurst exponents is assessed by means of Monte-Carlo sampling [8,20]. To this end, and in contrast to the traditional utilization of Monte-Carlo samples drawn from the standard normal distribution, we employ the class of α-stable distributions that encapsulates heavy tails and significant skewness and kurtosis, characteristics that usually typify financial data [21].…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone

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Section: Groupmentioning

confidence: 96%

Section: Groupmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone

Anagnostidis

Varsakelis

Emmanouilides

2016

Physica A: Statistical Mechanics and its Applications

108

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“…All data was downloaded from the WIND database which is a commercial finance information provider in China. We choose the same time range and period division in the literatures [44,45]. The data is from January 3, 2005, to December 7, 2009.…”

Section: Datamentioning

confidence: 99%

Mutual Information Based Analysis for the Distribution of Financial Contagion in Stock Markets

Wang¹,

Xia²

2017

Discrete Dynamics in Nature and Society

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This paper applies mutual information to research the distribution of financial contagion in global stock markets during the US subprime crisis. First, we symbolize the daily logarithmic stock returns based on their quantiles. Then, the mutual information of the stock indices is calculated and the block bootstrap approach is adopted to test the financial contagion. We analyze not only the contagion distribution during the entire crisis period but also its evolution over different stages by using the sliding window method. The empirical results prove the widespread existence of financial contagion and show that markets impacted by contagion tend to cluster geographically. The distribution of the contagion strength is positively skewed and leptokurtic. The average contagion strength is low at the beginning and then witnesses an uptrend. It has larger values in the middle stage and declines in the late phase of the crisis. Meanwhile, the cross-regional contagion between Europe and America is stronger than that between either America and Asia or Europe and Asia. Europe is found to be the region most deeply impacted by the contagion, whereas Asia is the least affected.

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Financial contagion in real economy: The key role of policy uncertainty

2020

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This paper studies the spread of the Subprime Crisis and the European Sovereign Debt Crisis from Eurozone countries to the real economy by examining 10 sectors in major developed and emerging stock markets. First, we employ Cappiello et al., Journal of Financial Economics, 2006, 4, 537-572 model and copula functions to detect and cross-check the correlations and the contagion thereafter. Second, we uncover evidence of correlation behaviour between policy uncertainty indexes and stock market returns. The results demonstrate that no country and sector was immune to spillover effects, highlighting the limited effectiveness of policy makers for both the Subprime Crisis and the European Sovereign Debt Crisis. The empirical application provides evidence of significant volatility and tail dependence from the financial sector to many real sectors in the U.S. economy. Additionally, there is clear evidence that certain sectors, particularly Healthcare, Telecommunications, Utilities and Technology, were less severely affected by the crisis, as observed by Baur,

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The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion

Cited by 77 publications

References 35 publications

Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone

Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone

Mutual Information Based Analysis for the Distribution of Financial Contagion in Stock Markets

Financial contagion in real economy: The key role of policy uncertainty

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