Long-Term Dependencies in Central European Stock Markets: A Crisp-Set Analysis

Authors

  • Rui Manuel Teixeira Dias Center for Studies and Advanced Training in Management and Economics (CEFAGE), University of Évora, Évora, Portugal https://orcid.org/0000-0002-6138-3098
  • Mariana Chambino School of Business and Administration, Polytechnic Institute of Setúbal, Setúbal, Portugal https://orcid.org/0000-0002-9444-3333
  • Nicole Rebolo Horta School of Business and Administration, Polytechnic Institute of Setúbal, Setúbal, Portugal https://orcid.org/0000-0003-0879-6691

DOI:

https://doi.org/10.58567/eal02010002

Keywords:

Events of 2020 and 2022; Central European markets; Persistence in returns; Portfolio diversification

Abstract

This paper intends to analyze efficiency, in its weak form, in the stock markets of Austria (ATX), Poland (WIG), the Czech Republic (PX Prague), Hungary (BUX), Croatia (CROBEX), Serbia (BELEX 15), Romania (BET), and Slovenia (SBI TOP), from February 16, 2018, to February 15, 2023. To achieve the research aim, we intend to answer the following research question: i) Have events in 2020 and 2022 heightened the persistence of Central European stock markets? Results suggest that persistence in returns has increased significantly during the first wave of Covid-19 and the Russian invasion in the year 2023, but we also saw that most stock markets already exhibit long memories, implying that the research question has been partially validated. This research can provide valuable insights to investors, policymakers, and others interested in financial risk management.

Author Biographies

Rui Manuel Teixeira Dias, Center for Studies and Advanced Training in Management and Economics (CEFAGE), University of Évora, Évora, Portugal

Postdoctoral in Econophysics at the State University of Feira de Santana, PhD in Finance at the University of Évora. Currently Guest Professor at the School of Business Sciences - Polytechnic Institute of Setúbal and Researcher (Integrated Member) at the Center for Advanced Studies in Management and Economics (CEFAGE)

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

Master's Degree in Accounting and Finance in the School of Business Science at the Polytechnic Institute of Setúbal. Graduated in Accounting and Finance in the School of Business Sciences, in the Polytechnic Institute of Setubal. Currently she is a certified accountant in the company CIGIT.

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

Master's Degree in Accounting and Finance in the School of Business Science at the Polytechnic Institute of Setubal. Graduated in Management ISCTE - Business School. Currently she is a project manager at the Lisbon Higher Institute of Engineering (ISEL).

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Published

2023-03-06

How to Cite

Dias, R. M. T., Chambino, M., & Horta, N. R. (2023). Long-Term Dependencies in Central European Stock Markets: A Crisp-Set Analysis. Economic Analysis Letters, 2(1), 10–17. https://doi.org/10.58567/eal02010002

Issue

Vol. 2 No. 1 (2023)

Section

Article

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Copyright (c) 2023 Rui Manuel Teixeira Dias, Mariana Chambino, Nicole Rebolo Horta

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This work is licensed under a Creative Commons Attribution 4.0 International License.

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