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
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/59368
Acceder
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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 Técnicas2025-10-29T11:38:33Zoai: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:34982025-10-29 11:38:33.629CONICET 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
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score 13.10058

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