Publicação
Are European banks informationally weak-form efficient? A dynamic analysis
| datacite.subject.fos | Ciências Sociais | |
| datacite.subject.sdg | 04:Educação de Qualidade | |
| datacite.subject.sdg | 16:Paz, Justiça e Instituições Eficazes | |
| dc.contributor.author | Almeida, Dora Maria Fortes de | |
| dc.contributor.author | Dionísio, Andreia Teixeira | |
| dc.contributor.author | D’Ascensão, Maria José Marcelino Madeira | |
| dc.contributor.author | Ferreira, Paulo Jorge Silveira | |
| dc.date.accessioned | 2026-02-12T11:09:12Z | |
| dc.date.available | 2026-02-12T11:09:12Z | |
| dc.date.issued | 2026-01-24 | en_US |
| dc.date.updated | 2026-02-12T09:55:06Z | |
| dc.description.abstract | 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 | eng |
| dc.description.version | N/A | |
| dc.identifier.citation | 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 | |
| dc.identifier.doi | 10.1186/s40854-025-00817-5 | en_US |
| dc.identifier.slug | cv-prod-4704058 | |
| dc.identifier.uri | http://hdl.handle.net/10400.26/61676 | |
| dc.language.iso | eng | |
| dc.peerreviewed | yes | |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | |
| dc.subject | Bank sector | |
| dc.subject | Detrended fuctuation analysis | |
| dc.subject | Extreme events | |
| dc.subject | Efciency | |
| dc.subject | Sliding windows | |
| dc.subject | Stock returns | |
| dc.title | Are European banks informationally weak-form efficient? A dynamic analysis | en_US |
| dc.type | research article | en_US |
| dspace.entity.type | Publication | |
| oaire.citation.title | Financial Innovation | en_US |
| oaire.version | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |
| rcaap.cv.cienciaid | 181D-7395-0348 | Dora Maria Fortes de Almeida | |
| rcaap.rights | openAccess | en_US |