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Dias, R., Heliodoro, P., Santos, H., Farinha. A. R., Santos, M. & Alexandre, P. (2021). Long-range dependencies of euronext capital markets: A dynamic detrended analysis. In Bevanda, V. (Ed.), 7th International Scientific Conference ERAZ 2021 - Knowledge based sustainable development: Selected papers. (pp. 27-37). Online: Association of Economists and Managers of the Balkans.

R. Dias et al.,  "Long-range dependencies of euronext capital markets: A dynamic detrended analysis", in 7th Int. Scientific Conf. ERAZ 2021 - Knowledge based sustainable development: Selected papers, Bevanda, V., Ed., Online, Association of Economists and Managers of the Balkans, 2021, pp. 27-37

@inproceedings{dias2021_1714933915831,
	author = "Dias, R. and Heliodoro, P. and Santos, H. and Farinha. A. R. and Santos, M. and Alexandre, P.",
	title = "Long-range dependencies of euronext capital markets: A dynamic detrended analysis",
	booktitle = "7th International Scientific Conference ERAZ 2021 - Knowledge based sustainable development: Selected papers",
	year = "2021",
	editor = "Bevanda, V.",
	volume = "",
	number = "",
	series = "",
	doi = "10.31410/ERAZ.S.P.2021.27",
	pages = "27-37",
	publisher = "Association of Economists and Managers of the Balkans",
	address = "Online",
	organization = "Association of Economists and Managers of the Balkans",
	url = "https://eraz-conference.com/wp-content/uploads/2022/03/ERAZ_2021-Selected-WEB.pdf"
}

TY  - CPAPER
TI  - Long-range dependencies of euronext capital markets: A dynamic detrended analysis
T2  - 7th International Scientific Conference ERAZ 2021 - Knowledge based sustainable development: Selected papers
AU  - Dias, R.
AU  - Heliodoro, P.
AU  - Santos, H.
AU  - Farinha. A. R.
AU  - Santos, M.
AU  - Alexandre, P.
PY  - 2021
SP  - 27-37
DO  - 10.31410/ERAZ.S.P.2021.27
CY  - Online
UR  - https://eraz-conference.com/wp-content/uploads/2022/03/ERAZ_2021-Selected-WEB.pdf
AB  - This paper aims to test efficiency, in its weak form, in the capital
markets of the Netherlands (AEX), Belgium (BEL 20), France (CAC 40),
Ireland (ISEQ 20), Norway (OSEBX), Portugal (PSI 20), in the period from
April 4, 2019 to April 1, 2021. The sample was partitioned into two subperiods,
the first and second wave of the global pandemic: April 4, 2019
to April 30, 2020; May 4, 2020 to April 1, 2021. To carry out this analysis,
different approaches were undertaken to analyze whether: (i) Euronext’s
stock markets have more significant long memories in the first or
second wave of the global pandemic? The results show the presence of
sharp long memories during the first wave of the global pandemic, particularly
in the stock indices OSEBX (0.67), PSI 20 (0.67), AEX (0.66), BEL 20
(0.64), CAC 40 (0.62), ISEQ 20 (0.61), which implies that the yields are autocorrelated
in time and, there is a reversal of the average, in all indexes.
Regarding the second wave of the global pandemic, we found that most
Euronext stock markets don’t reject the random walk hypothesis, with
the exception of the Norwegian (0.56) and Portugal (0.55) stock markets.
These findings show that the impact of the Covid-19 pandemic was accentuated
during the first wave, but from May 2020 the markets adjusted
and showed balance. The authors believe that the results achieved
will be a benefit to international investors seeking efficient diversification
into their portfolios.
ER  -