2020年和2022年事件对欧洲资本市场效率的影响

Paula Heliodoro, Rui Dias, N. Horta, Paulo Alexandre, Mariana Chambino
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摘要

本文拟在2017年9月18日至2022年9月15日期间,在荷兰(AEX)、比利时(BEL 20)、法国(CAC 40)、爱尔兰(ISEQ 20)和葡萄牙(PSI 20)的资本市场中测试弱形式的效率。给定偏度和峰度系数,时间序列显示偏离正态假设的迹象。我们还观察到,在平静期和第二波新冠疫情期间,欧洲股市处于均衡状态,效率假设的弱形式不成立,这意味着投资者将难以在不承担额外风险的情况下实现高于市场平均水平的回报。当我们检查第一个Covid-19子时期时,我们发现所有资本市场都表现出长记忆,表明预测回报的倾向,特别是葡萄牙资本市场表现出最高的持续性值(0.65),而比利时(BEL 20),法国(CAC 40),爱尔兰(ISEQ 20)的指数为0.62,荷兰为0.61。在与俄罗斯2022年入侵乌克兰相对应的第四个子周期中,我们发现除了法国资本市场(CAC 40)之外,所有股票指数都不接受弱形式的效率假设。将第一波COVID-19分时期与2022年俄罗斯入侵乌克兰的分时期进行比较,我们注意到,在第一波COVID-19期间,市场表现出更明显的失衡,这在很大程度上是由于2020年大流行进程的不确定性。此外,我们强调,在全球经济不确定程度较高的分段期间,价格不能完全反映现有信息,价格波动也不确定。换句话说,价格回归均值,价格变得可预测,从而使区域和国际投资者能够获得高于市场平均水平的回报。作者认为,这些发现对欧洲资本市场的监管者和监督者来说意义重大,他们应该努力确保更有效地纠正现有的市场信息。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Impact of the 2020 and 2022 Events on the Efficiency of Europe’s Capital Markets
This paper intends to test efficiency, in its weak form, in the capital markets of the Netherlands (AEX), Belgium (BEL 20), France (CAC 40), Ireland (ISEQ 20), and Portugal (PSI 20), for the period from September 18th, 2017, to Sep­tember 15th, 2022. Given the skewness and kurtosis coefficients, the time series shows signs of deviation from the normality hypothesis. We also observe that during the Tranquil and second Covid-19 wave subperiods, European equity markets are in equilibrium and that the (in) efficiency hypothesis, in its weak form, does not hold, implying that investors will struggle to achieve returns above the market average without incurring additional risk. When we examine the first Covid-19 subperiod, we find that all capital markets show long memo­ries, indicating a propensity to forecast returns, particularly the Portuguese cap­ital market shows the highest value of persistence (0.65), while the stock indexes of Belgium (BEL 20), France (CAC 40), Ireland (ISEQ 20) have exponents of 0.62, and the Netherlands 0.61. In the fourth sub-period that corresponds to the Rus­sian invasion of Ukraine in 2022, we find that the efficiency hypothesis, in its weak form, is rejected for all stock indexes, except for the French capital market (CAC 40). When the sub-periods of the first wave of COVID-19 and the Russian invasion of Ukraine in 2022 are compared, we notice that markets exhibit more pronounced imbalances during the first wave of COVID-19, due in large part to uncertainty regarding the course of the 2020 pandemic. In addition, we empha­size that during subperiods of higher uncertainty in the global economy, prices do not fully reflect available information and that price fluctuations are not i.i.d. In other words, there is a reversion to the mean, and prices become predicta­ble, allowing regional and international investors to achieve above-market av­erage returns. The authors suggest that these findings are significant for regula­tors and supervisors of European capital markets to promote efforts to guaran­tee that available market information is rectified more effectively.
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