Paula Heliodoro – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal

Rui Dias – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal; Center for Studies and
Advanced Training in Management and Economics (CEFAGE), University of Évora, Portugal

Nicole Horta – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal

Paulo Alexandre – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal

Mariana Chambino – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal

European capital markets;
DFA Random Walk;


Abstract: 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.

6th International Scientific Conference on Recent Advances in Information Technology, Tourism, Economics, Management and Agriculture – ITEMA 2022 – Selected Papers, Hybrid (University of Maribor, Slovenia), October 27, 2022

ITEMA Selected Papers published by: Association of Economists and Managers of the Balkans – Belgrade, Serbia

ITEMA conference partners: Faculty of Economics and Business, University of Maribor, Slovenia; Faculty of Organization and Informatics, University of Zagreb, Varaždin; Faculty of Geography, University of Belgrade, Serbia; Institute of Marketing, Poznan University of Economics and Business, Poland; Faculty of Agriculture, Banat’s University of Agricultural Sciences and Veterinary Medicine ”King Michael I of Romania”, Romania

ITEMA Conference 2022 Selected Papers: ISBN 978-86-80194-64-6, ISSN 2683-5991, DOI:

Creative Commons Non Commercial CC BY-NC: This article is distributed under the terms of the Creative Commons Attribution-Non-Commercial 4.0 License ( which permits non-commercial use, reproduction and distribution of the work without further permission. 

Suggested citation

Heliodoro, P., Dias, R., Horta, N., Alexandre, P., & Chambino, M. (2022). Impact of the 2020 and 2022 Events on the Efficiency of Europe’s Capital Markets. In V. Bevanda (Ed.), International Scientific Conference ITEMA 2022: Vol 6. Selected Papers (pp. 47-59). Association of Economists and Managers of the Balkans.


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