Open Access Journal Article

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

by Rui Manuel Teixeira Dias a,* orcid ,  Mariana Chambino b orcid  and  Nicole Rebolo Horta b orcid
a
Center for Studies and Advanced Training in Management and Economics (CEFAGE), University of Évora, Évora, Portugal
b
School of Business and Administration, Polytechnic Institute of Setúbal, Setúbal, Portugal
*
Author to whom correspondence should be addressed.
EAL  2023, 12; 2(1), 12; https://doi.org/10.58567/eal02010002
Received: 21 February 2023 / Accepted: 5 March 2023 / Published Online: 6 March 2023
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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.

Keywords: Events of 2020 and 2022; Central European markets; Persistence in returns; Portfolio diversification;
Copyright: © 2023 by Teixeira Dias, Chambino and Rebolo Horta. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY) (Creative Commons Attribution 4.0 International License). The use, distribution or reproduction in other forums is permitted, provided the original author(s) or licensor are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.
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ACS Style
Teixeira Dias, R. M.; Chambino, M.; Rebolo Horta, N. Long-Term Dependencies in Central European Stock Markets: A Crisp-Set Analysis. Economic Analysis Letters, 2023, 2, 12. https://doi.org/10.58567/eal02010002
AMA Style
Teixeira Dias R M, Chambino M, Rebolo Horta N. Long-Term Dependencies in Central European Stock Markets: A Crisp-Set Analysis. Economic Analysis Letters; 2023, 2(1):12. https://doi.org/10.58567/eal02010002
Chicago/Turabian Style
Teixeira Dias, Rui M.; Chambino, Mariana; Rebolo Horta, Nicole 2023. "Long-Term Dependencies in Central European Stock Markets: A Crisp-Set Analysis" Economic Analysis Letters 2, no.1:12. https://doi.org/10.58567/eal02010002
APA style
Teixeira Dias, R. M., Chambino, M., & Rebolo Horta, N. (2023). Long-Term Dependencies in Central European Stock Markets: A Crisp-Set Analysis. Economic Analysis Letters, 2(1), 12. https://doi.org/10.58567/eal02010002

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