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

Listed author(s):
  • 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)

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.

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File URL: http://www.esr.ie/article/download/185/90/185-554-1-PB.pdf
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Article provided by Economic and Social Studies in its journal Economic and Social Review.

Volume (Year): 45 (2014)
Issue (Month): 3 ()
Pages: 349-369

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Handle: RePEc:eso:journl:v:45:y:2014:i:3:p:349-369
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  1. Zeileis, Achim & Leisch, Friedrich & Hornik, Kurt & Kleiber, Christian, 2002. "strucchange: An R Package for Testing for Structural Change in Linear Regression Models," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 7(i02).
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  8. Grammatikos, Theoharry & Vermeulen, Robert, 2012. "Transmission of the financial and sovereign debt crises to the EMU: Stock prices, CDS spreads and exchange rates," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 517-533.
  9. Bariviera, Aurelio Fernández, 2011. "The influence of liquidity on informational efficiency: The case of the Thai Stock Market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4426-4432.
  10. Pako Thupayagale, 2011. "Long Memory In The Volatility Of An Emerging Fixed‐Income Market: Evidence From South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 79(3), pages 290-300, 09.
  11. Aurelio F. Bariviera & Luciano Zunino & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2015. "Efficiency and credit ratings: a permutation-information-theory analysis," Papers 1509.01839, arXiv.org.
  12. Cheung, Yin-Wong & Lai, Kon S., 1995. "A search for long memory in international stock market returns," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 597-615, August.
  13. Wang, Yudong & Liu, Li & Gu, Rongbao, 2009. "Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 271-276, December.
  14. Zeileis, Achim & Shah, Ajay & Patnaik, Ila, 2010. "Testing, monitoring, and dating structural changes in exchange rate regimes," Computational Statistics & Data Analysis, Elsevier, vol. 54(6), pages 1696-1706, June.
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