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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Gil-Alana, L | - |
dc.contributor.author | Arrese Lasaosa, I | - |
dc.date.accessioned | 2022-11-26T11:12:19Z | - |
dc.date.available | 2022-11-26T11:12:19Z | - |
dc.date.issued | 2022-11-11 | - |
dc.identifier | ORCID iD: Guglielmo Caporale https://orcid.org/0000-0002-0144-4135 | - |
dc.identifier | E11650 | - |
dc.identifier.citation | Caporale, G.M., Gil-Alana, L. and Arrese Lasaosa, I. (2022) 'The impact of the Covid-19 pandemic on persistence in the European stock markets', Heliyon, 8 (11), E11650, pp. 1 - 12. doi: 10.1016/j.heliyon.2022.e11560. | en_US |
dc.identifier.issn | 2405-8440 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/25542 | - |
dc.description | Data availability statement: Data will be made available on request. | en_US |
dc.description.abstract | Copyright © 2022 The Author(s). 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. | en_US |
dc.description.sponsorship | This research did not receive any specific grant from funding agencies in the public, commercial, or not-for-profit sectors. | en_US |
dc.format.extent | 1 - 12 | - |
dc.format.medium | Electronic | - |
dc.language.iso | en_US | en_US |
dc.publisher | Elsevier | en_US |
dc.rights | Copyright © 2022 The Author(s). Published by Elsevier Ltd. This is an open access article under the CC BY license (https://creativecommons.org/licenses/by/4.0/). | - |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | - |
dc.subject | Covid-19 pandemic | en_US |
dc.subject | European stock market indices | en_US |
dc.subject | persistence | en_US |
dc.subject | fractional integration | en_US |
dc.title | The impact of the Covid-19 pandemic on persistence in the European stock markets | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1016/j.heliyon.2022.e11560 | - |
dc.relation.isPartOf | Heliyon | - |
pubs.issue | 11 | - |
pubs.publication-status | Published | - |
pubs.volume | 8 | - |
dc.rights.holder | The Author(s) | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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FullText.pdf | Copyright © 2022 The Author(s). Published by Elsevier Ltd. This is an open access article under the CC BY license (https://creativecommons.org/licenses/by/4.0/). | 1.06 MB | Adobe PDF | View/Open |
This item is licensed under a Creative Commons License