Articlegreen2012

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

Aurelio F. Bariviera · Maria Guercio · Lisana B. Martínez

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

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.

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References

1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1970Efficient Capital Markets: A Review of Theory and Empirical Work 1900Théorie de la spéculation 2015Proof that Properly Anticipated Prices Fluctuate Randomly 1995ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY 2004Time-dependent Hurst exponent in financial time series 2011Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data 1995A search for long memory in international stock market returns

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