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
Keywords:
Russian invasion of Ukraine;
Econophysics;
Long memories;
Capital markets
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.
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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,
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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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