The impact of 2008 financial crisis on the efficiency and contagion of Asian stock markets: A Hurst exponent approach

•We utilize the Hurst exponents as a new tool to assess financial contagion.•We use various copula models to measure dependence structures between local Hurst exponents.•The 2008 financial crisis influenced the Hurst exponents of Asian stock returns.•Correlation between local Hurst exponents of the U.S. market returns and those of the Asian market returns increased from tranquil to crisis period.

This study analyzes the dynamics of the Hurst exponent of the Asian stock markets returns in the context of the 2008 financial crisis. Using the Hurst exponents calculated with the MFDMA algorithm, we find that most of the returns exhibit a long memory in the 2008 financial crisis period but not in the tranquil periods, indicating that the 2008 financial crisis has adversely affected the efficiency of Asian stock markets. Then, applying the copula models, we find that there is a significant increase in correlation between the local Hurst exponents of several markets, indicating the existence of financial contagion.