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

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  • Aurelio Fernández Bariviera

    (DGE, Universitat Rovira i Virgili, Reus, Spain; Centro de Estudios Científicos y Técnicos, FACPCE, Buenos Aires, Argentina)

  • M. Belén Guercio

    (Instituto de Investigaciones Económicas y Sociales del Sur, CONICET; Universidad Nacional del Sur; Universidad Provincial del Sudoeste, Bahía Blanca, Argentina)

  • Lisana B. Martinez

    (Instituto de Investigaciones Económicas y Sociales del Sur, CONICET; Universidad Nacional del Sur; Universidad Provincial del Sudoeste, Bahía Blanca, Argentina)

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 nonfinancial sectors suffer only a transitory effect.

Suggested Citation

  • Aurelio Fernández Bariviera & M. Belén Guercio & Lisana B. Martinez, 2014. "Informational Efficiency in Distressed Markets: The Case of European Corporate Bonds," The Economic and Social Review, Economic and Social Studies, vol. 45(3), pages 349-369.
  • Handle: RePEc:eso:journl:v:45:y:2014:i:3:p:349-369
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    Cited by:

    1. Bariviera, Aurelio F., 2017. "The inefficiency of Bitcoin revisited: A dynamic approach," Economics Letters, Elsevier, vol. 161(C), pages 1-4.
    2. Constantin Anghelache & Radu Titus MARINESCU & Bodo Gyorgy & Ihab Jweida S J JWEIDA & Andreea-Ioana MARINESCU, 2016. "The Role of Information to Market Study," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(9), pages 100-112, September.
    3. Bariviera, Aurelio F. & Basgall, María José & Hasperué, Waldo & Naiouf, Marcelo, 2017. "Some stylized facts of the Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 82-90.
    4. Lisana B. Martinez & M. Belén Guercio & Aurelio Fernandez Bariviera & Antonio Terceño, 2018. "The impact of the financial crisis on the long-range memory of European corporate bond and stock markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 1-15, February.
    5. Zunino, Luciano & Bariviera, Aurelio F. & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2016. "Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 1-9.
    6. Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "The influence of trading volume on market efficiency: The DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 259-265.
    7. M. Bel'en Arouxet & Aurelio F. Bariviera & Ver'onica E. Pastor & Victoria Vampa, 2020. "Covid-19 impact on cryptocurrencies: evidence from a wavelet-based Hurst exponent," Papers 2009.05652, arXiv.org.
    8. Alvarez-Ramirez, J. & Rodriguez, E. & Ibarra-Valdez, C., 2020. "Medium-term cycles in the dynamics of the Dow Jones Index for the period 1985–2019," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 546(C).
    9. Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "Efficiency of Thai stock markets: Detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 204-209.
    10. Charfeddine, Lanouar & Khediri, Karim Ben & Aye, Goodness C. & Gupta, Rangan, 2018. "Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 632-647.
    11. Ferreira, Paulo, 2018. "Efficiency or speculation? A time-varying analysis of European sovereign debt," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1295-1308.
    12. Polanco-Martínez, J.M. & Fernández-Macho, J. & Neumann, M.B. & Faria, S.H., 2018. "A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1211-1227.

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