Artículo
On the efficiency of sovereign bond markets
Zunino, Luciano José
; Fernández Bariviera, Aurelio; Guercio, María Belén
; Martinez, Lisana Belén
; Rosso, Osvaldo Aníbal
Fecha de publicación:
15/09/2012
Editorial:
Elsevier Science
Revista:
Physica A: Statistical Mechanics and its Applications
ISSN:
0378-4371
Idioma:
Inglés
Tipo de recurso:
Artículo publicado
Clasificación temática:
Resumen
The existence of memory in financial time series has been extensively studied for several stock markets around the world by means of different approaches. However, fixed income markets, i.e. those where corporate and sovereign bonds are traded, have been much less studied. We believe that, given the relevance of these markets, not only from the investors', but also from the issuers' point of view (government and firms), it is necessary to fill this gap in the literature. In this paper, we study the sovereign market efficiency of thirty bond indices of both developed and emerging countries, using an innovative statistical tool in the financial literature: the complexity-entropy causality plane. This representation space allows us to establish an efficiency ranking of different markets and distinguish different bond market dynamics. We conclude that the classification derived from the complexity-entropy causality plane is consistent with the qualifications assigned by major rating companies to the sovereign instruments. Additionally, we find a correlation between permutation entropy, economic development and market size that could be of interest for policy makers and investors.
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Articulos(CCT - BAHIA BLANCA)
Articulos de CTRO.CIENTIFICO TECNOL.CONICET - BAHIA BLANCA
Articulos de CTRO.CIENTIFICO TECNOL.CONICET - BAHIA BLANCA
Articulos(CIOP)
Articulos de CENTRO DE INVEST.OPTICAS (I)
Articulos de CENTRO DE INVEST.OPTICAS (I)
Articulos(SEDE CENTRAL)
Articulos de SEDE CENTRAL
Articulos de SEDE CENTRAL
Citación
Zunino, Luciano José; Fernández Bariviera, Aurelio; Guercio, María Belén; Martinez, Lisana Belén; Rosso, Osvaldo Aníbal; On the efficiency of sovereign bond markets; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 391; 18; 15-9-2012; 4342-4349
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