A Multiple Fluctuations and Detrending Analysis of Financial Market Efficiency: Comparison of Central and Eastern European Stock Indexes

Rui Dias – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal; Center for Studies and Advanced Training in Management and Economics (CEFAGE), University of Évora, Portugal

Nicole Horta – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal

Mariana Chambino – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal

Paulo Alexandre – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal

Paula Heliodoro – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal

Abstract

The analysis of stock market behaviour is still a very appealing topic because it can give investors information about where to invest their money. In this context, a dynamic investiga­tion of Austria’s (ATX), Serbia’s (BELEX 15), Hungary’s (BUX), Cro­atia’s (CROBEX), Russia’s (IMOEX), Czech Republic’s (PX PRAGUE), Slovenia’s (SBITOP), and Poland’s (WIG) capital markets is car­ried out from September 18th, 2017, to September 15th, 2022. The results suggest that most indexes are far from being absent of long-term dependency, which may be interpreted as inefficiency; that is, throughout the Tranquil period, the stock market indexes SBI TOP (0.59), AEX (0.54), WIG (0.54), PRAGUE (0.53), and BELEX 15 (0.52) exhibit dependence over time. The CROBEX (0.47) and BUX (0.44) indexes indicate anti persistence, however, the Russian market shows equilibrium (0.49 ≌ 0.0126), indicating that the ran­dom walk hypothesis is not rejected. When we look at the behav­iour of the markets under consideration during the Stress subpe­riod, we see that persistence was significantly higher in the capi­tal markets under analysis, except for the Russian market, which demonstrates some equilibrium. To conclude, we suggest that policymakers must take a comprehensive approach to improve the efficiency of international financial markets during times of stress due to uncertainty in the global economy and its influence on the memory properties of capital markets.

LIMEN Conference

8th International Scientific-Business Conference – LIMEN 2022 – Leadership, Innovation, Management and Economics: Integrated Politics of Research – CONFERENCE PROCEEDINGS, Hybrid (EXE Budapest Center, Budapest, Hungary), December 1, 2022,

LIMEN Conference proceedings published by the Association of Economists and Managers of the Balkans, Belgrade, Serbia

LIMEN Conference 2022 Conference proceedings: ISBN 978-86-80194-66-0, ISSN 2683-6149, DOI:  https://doi.org/10.31410/LIMEN.2022

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Suggested citation

Dias, R., Horta, N., Chambino, M., Alexandre, P., & Heliodoro, P. (2022). A Multiple Fluctuations and Detrending Analysis of Financial Market Efficiency: Comparison of Central and Eastern European Stock Indexes. In V. Bevanda (Ed.), International Scientific-Business Conference – LIMEN 2022: Vol 8. Conference proceedings (pp. 11-21). Association of Economists and Managers of the Balkans.  https://doi.org/10.31410/LIMEN.2022.11

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