On the efficiency of sovereign bond markets
- Autores
- Zunino, Luciano José; Fernández Bariviera, Aurelio; Guercio, María Belén; Martinez, Lisana Belén; Rosso, Osvaldo Aníbal
- Año de publicación
- 2012
- Idioma
- inglés
- Tipo de recurso
- artículo
- Estado
- versión publicada
- Descripción
- The existence of memory in financial time series has been extensively studied for several stock markets around the world by means of different approaches. However, fixed income markets, i.e. those where corporate and sovereign bonds are traded, have been much less studied. We believe that, given the relevance of these markets, not only from the investors', but also from the issuers' point of view (government and firms), it is necessary to fill this gap in the literature. In this paper, we study the sovereign market efficiency of thirty bond indices of both developed and emerging countries, using an innovative statistical tool in the financial literature: the complexity-entropy causality plane. This representation space allows us to establish an efficiency ranking of different markets and distinguish different bond market dynamics. We conclude that the classification derived from the complexity-entropy causality plane is consistent with the qualifications assigned by major rating companies to the sovereign instruments. Additionally, we find a correlation between permutation entropy, economic development and market size that could be of interest for policy makers and investors.
Fil: Zunino, Luciano José. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata. Centro de Investigaciones Ópticas. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas. Centro de Investigaciones Ópticas. Universidad Nacional de La Plata. Centro de Investigaciones Ópticas; Argentina. Universidad Nacional de La Plata. Facultad de Ingeniería; Argentina
Fil: Fernández Bariviera, Aurelio. Universitat Rovira I Virgili; España
Fil: Guercio, María Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca; Argentina. Universitat Rovira I Virgili; España
Fil: Martinez, Lisana Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca; Argentina. Universitat Rovira I Virgili; España
Fil: Rosso, Osvaldo Aníbal. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidade Federal de Alagoas; Brasil. Universidad de Buenos Aires. Facultad de Ingeniería. Departamento de Computación. Laboratorio de Sistemas Complejos; Argentina - Materia
-
BANDT AND POMPE METHOD
COMPLEXITY-ENTROPY CAUSALITY PLANE
ORDINAL TIME SERIES ANALYSIS
PERMUTATION ENTROPY
PERMUTATION STATISTICAL COMPLEXITY
SOVEREIGN BOND MARKET EFFICIENCY - Nivel de accesibilidad
- acceso abierto
- Condiciones de uso
- https://creativecommons.org/licenses/by-nc-nd/2.5/ar/
- Repositorio
- Institución
- Consejo Nacional de Investigaciones Científicas y Técnicas
- OAI Identificador
- oai:ri.conicet.gov.ar:11336/59368
Ver los metadatos del registro completo
id |
CONICETDig_21ca5c0fee9c214d80c3ddaacefd23c7 |
---|---|
oai_identifier_str |
oai:ri.conicet.gov.ar:11336/59368 |
network_acronym_str |
CONICETDig |
repository_id_str |
3498 |
network_name_str |
CONICET Digital (CONICET) |
spelling |
On the efficiency of sovereign bond marketsZunino, Luciano JoséFernández Bariviera, AurelioGuercio, María BelénMartinez, Lisana BelénRosso, Osvaldo AníbalBANDT AND POMPE METHODCOMPLEXITY-ENTROPY CAUSALITY PLANEORDINAL TIME SERIES ANALYSISPERMUTATION ENTROPYPERMUTATION STATISTICAL COMPLEXITYSOVEREIGN BOND MARKET EFFICIENCYhttps://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5The existence of memory in financial time series has been extensively studied for several stock markets around the world by means of different approaches. However, fixed income markets, i.e. those where corporate and sovereign bonds are traded, have been much less studied. We believe that, given the relevance of these markets, not only from the investors', but also from the issuers' point of view (government and firms), it is necessary to fill this gap in the literature. In this paper, we study the sovereign market efficiency of thirty bond indices of both developed and emerging countries, using an innovative statistical tool in the financial literature: the complexity-entropy causality plane. This representation space allows us to establish an efficiency ranking of different markets and distinguish different bond market dynamics. We conclude that the classification derived from the complexity-entropy causality plane is consistent with the qualifications assigned by major rating companies to the sovereign instruments. Additionally, we find a correlation between permutation entropy, economic development and market size that could be of interest for policy makers and investors.Fil: Zunino, Luciano José. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata. Centro de Investigaciones Ópticas. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas. Centro de Investigaciones Ópticas. Universidad Nacional de La Plata. Centro de Investigaciones Ópticas; Argentina. Universidad Nacional de La Plata. Facultad de Ingeniería; ArgentinaFil: Fernández Bariviera, Aurelio. Universitat Rovira I Virgili; EspañaFil: Guercio, María Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca; Argentina. Universitat Rovira I Virgili; EspañaFil: Martinez, Lisana Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca; Argentina. Universitat Rovira I Virgili; EspañaFil: Rosso, Osvaldo Aníbal. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidade Federal de Alagoas; Brasil. Universidad de Buenos Aires. Facultad de Ingeniería. Departamento de Computación. Laboratorio de Sistemas Complejos; ArgentinaElsevier Science2012-09-15info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfapplication/pdfapplication/pdfapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/59368Zunino, Luciano José; Fernández Bariviera, Aurelio; Guercio, María Belén; Martinez, Lisana Belén; Rosso, Osvaldo Aníbal; On the efficiency of sovereign bond markets; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 391; 18; 15-9-2012; 4342-43490378-4371CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2012.04.009info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/pii/S0378437112003020info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-nd/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-29T09:39:34Zoai:ri.conicet.gov.ar:11336/59368instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-29 09:39:34.523CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse |
dc.title.none.fl_str_mv |
On the efficiency of sovereign bond markets |
title |
On the efficiency of sovereign bond markets |
spellingShingle |
On the efficiency of sovereign bond markets Zunino, Luciano José BANDT AND POMPE METHOD COMPLEXITY-ENTROPY CAUSALITY PLANE ORDINAL TIME SERIES ANALYSIS PERMUTATION ENTROPY PERMUTATION STATISTICAL COMPLEXITY SOVEREIGN BOND MARKET EFFICIENCY |
title_short |
On the efficiency of sovereign bond markets |
title_full |
On the efficiency of sovereign bond markets |
title_fullStr |
On the efficiency of sovereign bond markets |
title_full_unstemmed |
On the efficiency of sovereign bond markets |
title_sort |
On the efficiency of sovereign bond markets |
dc.creator.none.fl_str_mv |
Zunino, Luciano José Fernández Bariviera, Aurelio Guercio, María Belén Martinez, Lisana Belén Rosso, Osvaldo Aníbal |
author |
Zunino, Luciano José |
author_facet |
Zunino, Luciano José Fernández Bariviera, Aurelio Guercio, María Belén Martinez, Lisana Belén Rosso, Osvaldo Aníbal |
author_role |
author |
author2 |
Fernández Bariviera, Aurelio Guercio, María Belén Martinez, Lisana Belén Rosso, Osvaldo Aníbal |
author2_role |
author author author author |
dc.subject.none.fl_str_mv |
BANDT AND POMPE METHOD COMPLEXITY-ENTROPY CAUSALITY PLANE ORDINAL TIME SERIES ANALYSIS PERMUTATION ENTROPY PERMUTATION STATISTICAL COMPLEXITY SOVEREIGN BOND MARKET EFFICIENCY |
topic |
BANDT AND POMPE METHOD COMPLEXITY-ENTROPY CAUSALITY PLANE ORDINAL TIME SERIES ANALYSIS PERMUTATION ENTROPY PERMUTATION STATISTICAL COMPLEXITY SOVEREIGN BOND MARKET EFFICIENCY |
purl_subject.fl_str_mv |
https://purl.org/becyt/ford/5.2 https://purl.org/becyt/ford/5 |
dc.description.none.fl_txt_mv |
The existence of memory in financial time series has been extensively studied for several stock markets around the world by means of different approaches. However, fixed income markets, i.e. those where corporate and sovereign bonds are traded, have been much less studied. We believe that, given the relevance of these markets, not only from the investors', but also from the issuers' point of view (government and firms), it is necessary to fill this gap in the literature. In this paper, we study the sovereign market efficiency of thirty bond indices of both developed and emerging countries, using an innovative statistical tool in the financial literature: the complexity-entropy causality plane. This representation space allows us to establish an efficiency ranking of different markets and distinguish different bond market dynamics. We conclude that the classification derived from the complexity-entropy causality plane is consistent with the qualifications assigned by major rating companies to the sovereign instruments. Additionally, we find a correlation between permutation entropy, economic development and market size that could be of interest for policy makers and investors. Fil: Zunino, Luciano José. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata. Centro de Investigaciones Ópticas. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas. Centro de Investigaciones Ópticas. Universidad Nacional de La Plata. Centro de Investigaciones Ópticas; Argentina. Universidad Nacional de La Plata. Facultad de Ingeniería; Argentina Fil: Fernández Bariviera, Aurelio. Universitat Rovira I Virgili; España Fil: Guercio, María Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca; Argentina. Universitat Rovira I Virgili; España Fil: Martinez, Lisana Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca; Argentina. Universitat Rovira I Virgili; España Fil: Rosso, Osvaldo Aníbal. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidade Federal de Alagoas; Brasil. Universidad de Buenos Aires. Facultad de Ingeniería. Departamento de Computación. Laboratorio de Sistemas Complejos; Argentina |
description |
The existence of memory in financial time series has been extensively studied for several stock markets around the world by means of different approaches. However, fixed income markets, i.e. those where corporate and sovereign bonds are traded, have been much less studied. We believe that, given the relevance of these markets, not only from the investors', but also from the issuers' point of view (government and firms), it is necessary to fill this gap in the literature. In this paper, we study the sovereign market efficiency of thirty bond indices of both developed and emerging countries, using an innovative statistical tool in the financial literature: the complexity-entropy causality plane. This representation space allows us to establish an efficiency ranking of different markets and distinguish different bond market dynamics. We conclude that the classification derived from the complexity-entropy causality plane is consistent with the qualifications assigned by major rating companies to the sovereign instruments. Additionally, we find a correlation between permutation entropy, economic development and market size that could be of interest for policy makers and investors. |
publishDate |
2012 |
dc.date.none.fl_str_mv |
2012-09-15 |
dc.type.none.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion http://purl.org/coar/resource_type/c_6501 info:ar-repo/semantics/articulo |
format |
article |
status_str |
publishedVersion |
dc.identifier.none.fl_str_mv |
http://hdl.handle.net/11336/59368 Zunino, Luciano José; Fernández Bariviera, Aurelio; Guercio, María Belén; Martinez, Lisana Belén; Rosso, Osvaldo Aníbal; On the efficiency of sovereign bond markets; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 391; 18; 15-9-2012; 4342-4349 0378-4371 CONICET Digital CONICET |
url |
http://hdl.handle.net/11336/59368 |
identifier_str_mv |
Zunino, Luciano José; Fernández Bariviera, Aurelio; Guercio, María Belén; Martinez, Lisana Belén; Rosso, Osvaldo Aníbal; On the efficiency of sovereign bond markets; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 391; 18; 15-9-2012; 4342-4349 0378-4371 CONICET Digital CONICET |
dc.language.none.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
info:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2012.04.009 info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/pii/S0378437112003020 |
dc.rights.none.fl_str_mv |
info:eu-repo/semantics/openAccess https://creativecommons.org/licenses/by-nc-nd/2.5/ar/ |
eu_rights_str_mv |
openAccess |
rights_invalid_str_mv |
https://creativecommons.org/licenses/by-nc-nd/2.5/ar/ |
dc.format.none.fl_str_mv |
application/pdf application/pdf application/pdf application/pdf application/pdf application/pdf |
dc.publisher.none.fl_str_mv |
Elsevier Science |
publisher.none.fl_str_mv |
Elsevier Science |
dc.source.none.fl_str_mv |
reponame:CONICET Digital (CONICET) instname:Consejo Nacional de Investigaciones Científicas y Técnicas |
reponame_str |
CONICET Digital (CONICET) |
collection |
CONICET Digital (CONICET) |
instname_str |
Consejo Nacional de Investigaciones Científicas y Técnicas |
repository.name.fl_str_mv |
CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas |
repository.mail.fl_str_mv |
dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar |
_version_ |
1844613251954900992 |
score |
13.070432 |