Work

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

Year: 2012

Type: article

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. © 2012 Elsevier B.V.

Source: CONICET Digital (CONICET)

Authors: Fernández Bariviera, Aurelio, Guercio, María Belén, Martinez, Lisana Belén

Institution: Universitat Rovira i Virgili

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3122957598

FWCI: 7.444

Cites: 23

Cited by: 45

Related to: 10