The impact of the COVID-19 pandemic on persistence in the European stock markets
This paper analyses the impact of the Covid-19 pandemic on the degree of persistence of European stock markets. Specifically, it uses fractional integration methods to estimate persistence at the daily, weekly and monthly frequencies in the case of ten major European stock market indices; the effect...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Elsevier
2022-11-01
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| Series: | Heliyon |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844022028481 |
| _version_ | 1828125289838804992 |
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| author | Guglielmo Maria Caporale Luis Gil-Alana Isabel Arrese Lasaosa |
| author_facet | Guglielmo Maria Caporale Luis Gil-Alana Isabel Arrese Lasaosa |
| author_sort | Guglielmo Maria Caporale |
| collection | DOAJ |
| description | This paper analyses the impact of the Covid-19 pandemic on the degree of persistence of European stock markets. Specifically, it uses fractional integration methods to estimate persistence at the daily, weekly and monthly frequencies in the case of ten major European stock market indices; the effects of the pandemic are assessed by comparing the pre-pandemic estimates (over the period 2005–2019) to those from a sample extended until July 2021 which includes the pandemic period. The approach used is more general than the standard one based on the stationarity versus non-stationarity dichotomy and allows for a wider range of dynamic processes. Three different model specifications are considered, and these are estimated under two alternative assumptions for the disturbances (white noise and autocorrelation). The findings indicate that there has not been any significant impact of the Covid-19 pandemic on the degree of persistence of the European stock market indices, though their volatility persistence has decreased. |
| first_indexed | 2024-04-11T15:18:32Z |
| format | Article |
| id | doaj.art-d2ecacab9d9e40acb496837a544a2615 |
| institution | Directory Open Access Journal |
| issn | 2405-8440 |
| language | English |
| last_indexed | 2024-04-11T15:18:32Z |
| publishDate | 2022-11-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Heliyon |
| spelling | doaj.art-d2ecacab9d9e40acb496837a544a26152022-12-22T04:16:26ZengElsevierHeliyon2405-84402022-11-01811e11560The impact of the COVID-19 pandemic on persistence in the European stock marketsGuglielmo Maria Caporale0Luis Gil-Alana1Isabel Arrese Lasaosa2Brunel University London, United Kingdom; Corresponding author.University of Navarra, Pamplona, SpainUniversity of Navarra, Pamplona, SpainThis paper analyses the impact of the Covid-19 pandemic on the degree of persistence of European stock markets. Specifically, it uses fractional integration methods to estimate persistence at the daily, weekly and monthly frequencies in the case of ten major European stock market indices; the effects of the pandemic are assessed by comparing the pre-pandemic estimates (over the period 2005–2019) to those from a sample extended until July 2021 which includes the pandemic period. The approach used is more general than the standard one based on the stationarity versus non-stationarity dichotomy and allows for a wider range of dynamic processes. Three different model specifications are considered, and these are estimated under two alternative assumptions for the disturbances (white noise and autocorrelation). The findings indicate that there has not been any significant impact of the Covid-19 pandemic on the degree of persistence of the European stock market indices, though their volatility persistence has decreased.http://www.sciencedirect.com/science/article/pii/S2405844022028481Covid-19 pandemicEuropean stock market indicesPersistenceFractional integration |
| spellingShingle | Guglielmo Maria Caporale Luis Gil-Alana Isabel Arrese Lasaosa The impact of the COVID-19 pandemic on persistence in the European stock markets Heliyon Covid-19 pandemic European stock market indices Persistence Fractional integration |
| title | The impact of the COVID-19 pandemic on persistence in the European stock markets |
| title_full | The impact of the COVID-19 pandemic on persistence in the European stock markets |
| title_fullStr | The impact of the COVID-19 pandemic on persistence in the European stock markets |
| title_full_unstemmed | The impact of the COVID-19 pandemic on persistence in the European stock markets |
| title_short | The impact of the COVID-19 pandemic on persistence in the European stock markets |
| title_sort | impact of the covid 19 pandemic on persistence in the european stock markets |
| topic | Covid-19 pandemic European stock market indices Persistence Fractional integration |
| url | http://www.sciencedirect.com/science/article/pii/S2405844022028481 |
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