A comparative analysis of the informational efficiency of the fixed income market in seven European countries

Fernández Bariviera, Aurelio; Guercio, María Belén; Martinez, Lisana Belén

doi:https://dx.doi.org/10.1016/j.econlet.2012.04.047

Artículo

A comparative analysis of the informational efficiency of the fixed income market in seven European countries

Fernández Bariviera, Aurelio; Guercio, María Belén Icon

; Martinez, Lisana Belén Icon

Fecha de publicación: 09/2012

Editorial: North-holland

Revista: Economics Letters

ISSN: 0165-1765

Idioma: Inglés

Tipo de recurso: Artículo publicado

Clasificación temática:

Economía, Econometría

Resumen

This letter investigates the time-varying behavior of long memory in sovereign and corporate bond indices of seven European Union countries from July 1998 to November 2011. We compute the Hurst exponent and detect that the current financial crisis affects more the informational efficiency of the corporate bond market than the sovereign bond market. © 2012 Elsevier B.V.

Palabras clave: Corporate Bonds , Financial Crisis , Long Range Dependence , Sovereign Bonds

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Excepto donde se diga explícitamente, este item se publica bajo la siguiente descripción: Creative Commons Attribution-NonCommercial-ShareAlike 2.5 Unported (CC BY-NC-SA 2.5)

Identificadores

URI: http://hdl.handle.net/11336/66311

URL: https://www.sciencedirect.com/science/article/pii/S0165176512001887

DOI: https://dx.doi.org/10.1016/j.econlet.2012.04.047

Colecciones

Articulos(CCT - BAHIA BLANCA)
Articulos de CTRO.CIENTIFICO TECNOL.CONICET - BAHIA BLANCA

Citación

Fernández Bariviera, Aurelio; Guercio, María Belén; Martinez, Lisana Belén; A comparative analysis of the informational efficiency of the fixed income market in seven European countries; North-holland; Economics Letters; 116; 3; 9-2012; 426-428

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