Author, as appears in the article.: Bariviera A; Belén Guercio M; Martinez L
Department: Gestió d'Empreses
URV's Author/s: Fernández Bariviera, Aurelio / MARTÍNEZ, LISANA BELÉN
Keywords: Structural-changes Stock-market Renda fixa Long-range dependence Intraday analysis Hurst¿s exponent Hurst exponent Fixed-income market Financial time-series Financial crisis Econofisica Detrended fluctuation analysis Change-point Becoming weakly efficient
Abstract: © 2014 The Economic and Social Review. All rights reserved. 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 nonfinancial sectors suffer only a transitory effect.
Thematic Areas: Sociology and political science Sociology Economics and econometrics Economics Ciencias sociales
licence for use: https://creativecommons.org/licenses/by/3.0/es/
ISSN: 00129984
Author's mail: aurelio.fernandez@urv.cat
Author identifier: 0000-0003-1014-1010
Record's date: 2024-09-07
Papper version: info:eu-repo/semantics/publishedVersion
Link to the original source: https://www.esr.ie/article/view/185
Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
Papper original source: Economic And Social Review. 45 (3): 349-369
APA: Bariviera A; Belén Guercio M; Martinez L (2014). Informational efficiency in distressed markets: The case of European corporate bonds. Economic And Social Review, 45(3), 349-369
Entity: Universitat Rovira i Virgili
Journal publication year: 2014
Publication Type: Journal Publications
Repositori URV