The Impact of Events on Long-Term Persistence of Global Stock Markets: Evidence from the CSI 300, HSI, and S&P 500

Bu Chen; Shan Wang; Lu Deng

doi:10.2991/978-94-6463-724-3_10

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The Impact of Events on Long-Term Persistence of Global Stock Markets: Evidence from the CSI 300, HSI, and S&P 500

Authors

Bu Chen¹, Shan Wang¹, Lu Deng²^{, *}

¹Central University of Finance and Economics, School of Statistics and Mathematics, Beijing, 102206, China

²Central University of Finance and Economics, School of Statistics and Mathematics, Beijing, 102206, China

^*Corresponding author. Email: ludeng@cufe.edu.cn

Corresponding Author

Lu Deng

Available Online 26 May 2025.

DOI: 10.2991/978-94-6463-724-3_10 How to use a DOI?
Keywords: Long-term behavior; Long memory; Structural breaks; ARFIMA
Abstract: This study takes the daily return series of the CSI 300 Index, HSI, and S&P 500 Index as the research object, investigating the changes in the long-term behavior persistence of global stock markets in response to major events. Using the ARFIMA model to estimate long-memory parameters and the Bai-Perron method to detect structural breaks, the results shows that long memory increases during periods of structural breaks, indicating reduced market efficiency. Further analysis reveals that the changes in the long-term behavior of global stock markets are not independent but are characterized by significant cross-market linkages. Specifically, major shocks such as financial crises, policy adjustments, natural disasters, and public health events not only induce structural breaks in individual markets but also lead to synchronized movements in global stock markets.
Copyright: © 2025 The Author(s)
Open Access: Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title: Proceedings of the 2025 5th International Conference on Informatization Economic Development and Management (IEDM 2025)
Series: Advances in Economics, Business and Management Research
Publication Date: 26 May 2025
ISBN: 978-94-6463-724-3
ISSN: 2352-5428
DOI: 10.2991/978-94-6463-724-3_10 How to use a DOI?
Open Access: Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

ris enw bib

TY  - CONF
AU  - Bu Chen
AU  - Shan Wang
AU  - Lu Deng
PY  - 2025
DA  - 2025/05/26
TI  - The Impact of Events on Long-Term Persistence of Global Stock Markets: Evidence from the CSI 300, HSI, and S&P 500
BT  - Proceedings of the 2025 5th International Conference on Informatization Economic Development and Management (IEDM 2025)
PB  - Atlantis Press
SP  - 95
EP  - 101
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-724-3_10
DO  - 10.2991/978-94-6463-724-3_10
ID  - Chen2025
ER  -

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