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Are European banks informationally weak-form efficient? A dynamic analysis
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Orientador(es)
Resumo(s)
The efcient market hypothesis (EMH) is a cornerstone of fnancial theory and is crucial
to understanding weak-form efciency, particularly during extreme events. Detrended
fuctuation analysis (DFA) is a robust approach for assessing weak-form efciency,
overcoming some limitations of traditional methods. Given the fundamental role
of the banking sector in the economy and its importance during crises, evaluating
informational efciency in this sector becomes even more relevant. In the present
study, we applied the DFA with sliding windows to assess the weak-form efciency
in the stock returns of the European banking sector between February 2016 and February 2023 and the efciency index of Kristoufek and Vosvrda (2013) to rank the weakform efciency levels of the analyzed banks. The results indicate that the COVID-19
pandemic increased bank return persistence. In contrast, the Russia–Ukraine war initially led to antipersistent behavior, but banks returned to persistent patterns over time.
The efciency ranking revealed that banks from Belgium, the UK, Spain, and Sweden
were less inefcient, whereas those from France and Italy presented higher levels
of inefciency. The fndings provide valuable insights for investors and policymakers
regarding the development of risk mitigation strategies, risk management, and fnancial stability eforts
Descrição
Palavras-chave
Bank sector Detrended fuctuation analysis Extreme events Efciency Sliding windows Stock returns
Contexto Educativo
Citação
Fortes de Almeida, D.M., Teixeira Dionísio, A., Marcelino Madeira D’Ascensão, M.J. et al. Are European banks informationally weak-form efficient? A dynamic analysis. Financ Innov 12, 37 (2026). https://doi.org/10.1186/s40854-025-00817-5