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

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

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

Russian-Ukraine invasion;
Central-Eastern European
Long memories;
Predictability in returns



The analysis of the behaviour of capital markets remains a very in­teresting issue as it can give investors information about where to invest their money. Given the importance of measuring autocorrelation in financial mar­kets, this paper aims to analyse the predictability of capital markets, name­ly Austria (Austrian Traded), Budapest (BUX), Bulgaria (SE SOFIX), Croatia (CROBEX), Russia (MOEX), Czech Republic (PragueSE PX), Romania (BET), Slo­vakia (SAX 16), and Slovenia (SBI TOP), for the period from January 1st, 2020, to May 6th, 2022. To conduct this analysis and obtain more robust results we par­titioned the sample into three sub-periods: 1st wave of Covid (January 2020 to December 2020), 2nd wave of Covid (January 2021 to December 2021), and the Russian invasion of Ukraine in 2022 (January 2022 to May 2022). The results of the Lagrange Multiplier test (ARCH-LM test), show that the residuals of the autoregressive processes of the capital markets under analysis exhibit condi­tional heteroscedasticity. Furthermore, the BDS test findings indicate the pres­ence of non-linear components, implying that the hypothesis that the returns are independent and identically distributed is rejected, with a statistical sig­nificance of 1%, from dimension 2 onwards. Overall, the DFA exponents show that the Russian invasion of Ukraine in 2022 had a different impact on the pre­dictability of these regional markets indicating that markets were predicta­ble and showed pronounced long memories during the first wave of Covid-19, while markets mostly tended towards equilibrium during the last sub-period of 2022. The authors believe that this research is crucial for policymakers and investors in Central and Eastern Europe capital markets in terms of regional development initiatives and portfolio diversification strategies.

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Horta, N., Dias, R., & Chambino, M. (2022). Efficiency and Long-Term Correlation in Central and Eastern European Stock Indexes: An Approach in the Context of Extreme Events in 2020 and 2022. In V. Bevanda (Ed.), International Scientific-Business Conference – LIMEN 2022: Vol 8. Conference proceedings (pp. 23-37). Association of Economists and Managers of the Balkans.


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