Work

Informational Efficiency in Distressed Markets: The Case of European Corporate Bonds

Year: 2014

Type: article

Abstract: : This paper investigates the effect of the 2008 financial crisis on informational efficiency by carrying out a long-memory analysis of European corporate bond markets. We compute the Hurst exponent for fifteen sectorial indices to scrutinise the time-varying behaviour of long-range memory, applying a shuffling technique to avoid short-term correlation. We find that the financial crisis has uneven effects on the informational efficiency of all corporate bond sectors, especially those related to financial services. However, their vulnerability is not homogeneous and some non-financial sectors suffer only a transitory effect. I

Source: Arrow@dit (Dublin Institute of Technology)

Authors: Bariviera, Aurelio Fernández, Guercio, M. Belén, Martinez, Lisana B.

Institutions: Universitat Rovira i Virgili, Consejo Nacional de Investigaciones Científicas y Técnicas, Instituto de Investigaciones Económicas y Sociales del Sur, Universidad Provincial del Sudoeste, Universidad Nacional del Sur

Language: English

Topic: Complex Systems and Time Series Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2125985367

FWCI: 6.274

Cites: 66

Cited by: 22

Related to: 10