Download This PaperA Comparative Analysis of the Informational Efficiency of the Fixed Income Market in Seven European Countries
4 Pages Posted: 13 Oct 2015
Date Written: April 12, 2012
Abstract
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.
Keywords: Financial crisis, Long range dependence, Corporate bonds, Sovereign bonds
JEL Classification: G01, G14
Suggested Citation: Suggested Citation
Bariviera, Aurelio F. and Guercio, M. Belén and Guercio, M. Belén and Martinez, Lisana B., A Comparative Analysis of the Informational Efficiency of the Fixed Income Market in Seven
European Countries (April 12, 2012). Economics Letters, Vol. 116, No. 3, 2012, Available at SSRN: https://ssrn.com/abstract=2672598
Do you have negative results from your research you’d like to share?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.