  This paper investigates the presence of long memory in corporate bond and
stock indices of six European Union countries from July 1998 to February 2015.
We compute the Hurst exponent by means of the DFA method and using a sliding
window in order to measure long range dependence. We detect that Hurst
exponents behave differently in the stock and bond markets, being smoother in
the stock indices than in the bond indices. We verify that the level of
informational efficiency is time-varying. Moreover we find an asymmetric impact
of the 2008 financial crisis in the fixed income and the stock markets,
affecting the former but not the latter. Similar results are obtained using the
R/S method.
