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Informational efficiency in distressed markets: The case of European corporate bonds

  • Datos identificativos

    Identificador: imarina:6387931
    Handle: https://hdl.handle.net/20.500.11797/imarina6387931
    Autores:
    Bariviera ABelén Guercio MMartinez L
    Resumen:
    © 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.

  • Otros:

    Autor según el artículo: Bariviera A; Belén Guercio M; Martinez L
    Departamento: Gestió d'Empreses
    Autor/es de la URV: Fernández Bariviera, Aurelio / MARTÍNEZ, LISANA BELÉN
    Palabras clave: 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
    Resumen: © 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.
    Áreas temáticas: Sociology and political science Sociology Economics and econometrics Economics Ciencias sociales
    Acceso a la licencia de uso: https://creativecommons.org/licenses/by/3.0/es/
    ISSN: 00129984
    Direcció de correo del autor: aurelio.fernandez@urv.cat
    Identificador del autor: 0000-0003-1014-1010
    Fecha de alta del registro: 2024-09-07
    Versión del articulo depositado: info:eu-repo/semantics/publishedVersion
    Enlace a la fuente original: https://www.esr.ie/article/view/185
    URL Documento de licencia: https://repositori.urv.cat/ca/proteccio-de-dades/
    Referencia al articulo segun fuente origial: Economic And Social Review. 45 (3): 349-369
    Referencia de l'ítem segons les normes 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
    Entidad: Universitat Rovira i Virgili
    Año de publicación de la revista: 2014
    Tipo de publicación: Journal Publications

  • Palabras clave:

    Economics,Economics and Econometrics,Sociology,Sociology and Political Science
    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
    Sociology and political science
    Sociology
    Economics and econometrics
    Economics
    Ciencias sociales

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