A comparative analysis of the informational efficiency of the fixed income market in seven European countries

Autores
Fernández Bariviera, Aurelio; Guercio, María Belén; Martinez, Lisana Belén
Año de publicación
2012
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
This letter investigates the time-varying behavior of long memory in sovereign and corporate bond indices of seven European Union countries from July 1998 to November 2011. We compute the Hurst exponent and detect that the current financial crisis affects more the informational efficiency of the corporate bond market than the sovereign bond market. © 2012 Elsevier B.V.
Fil: Fernández Bariviera, Aurelio. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universitat Rovira I Virgili; España. Centro de Estudios Científicos y Técnicos; Argentina
Fil: Guercio, María Belén. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universitat Rovira I Virgili; España
Fil: Martinez, Lisana Belén. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universitat Rovira I Virgili; España
Materia
Corporate Bonds
Financial Crisis
Long Range Dependence
Sovereign Bonds
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/66311
Acceder
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network_acronym_str CONICETDig
repository_id_str 3498
network_name_str CONICET Digital (CONICET)
spelling A comparative analysis of the informational efficiency of the fixed income market in seven European countriesFernández Bariviera, AurelioGuercio, María BelénMartinez, Lisana BelénCorporate BondsFinancial CrisisLong Range DependenceSovereign Bondshttps://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5This letter investigates the time-varying behavior of long memory in sovereign and corporate bond indices of seven European Union countries from July 1998 to November 2011. We compute the Hurst exponent and detect that the current financial crisis affects more the informational efficiency of the corporate bond market than the sovereign bond market. © 2012 Elsevier B.V.Fil: Fernández Bariviera, Aurelio. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universitat Rovira I Virgili; España. Centro de Estudios Científicos y Técnicos; ArgentinaFil: Guercio, María Belén. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universitat Rovira I Virgili; EspañaFil: Martinez, Lisana Belén. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universitat Rovira I Virgili; EspañaNorth-holland2012-09info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/66311Fernández Bariviera, Aurelio; Guercio, María Belén; Martinez, Lisana Belén; A comparative analysis of the informational efficiency of the fixed income market in seven European countries; North-holland; Economics Letters; 116; 3; 9-2012; 426-4280165-1765CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/pii/S0165176512001887info:eu-repo/semantics/altIdentifier/doi/10.1016/j.econlet.2012.04.047info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-10-15T14:59:06Zoai:ri.conicet.gov.ar:11336/66311instacron: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:34982025-10-15 14:59:07.164CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv A comparative analysis of the informational efficiency of the fixed income market in seven European countries
title A comparative analysis of the informational efficiency of the fixed income market in seven European countries
spellingShingle A comparative analysis of the informational efficiency of the fixed income market in seven European countries
Fernández Bariviera, Aurelio
Corporate Bonds
Financial Crisis
Long Range Dependence
Sovereign Bonds
title_short A comparative analysis of the informational efficiency of the fixed income market in seven European countries
title_full A comparative analysis of the informational efficiency of the fixed income market in seven European countries
title_fullStr A comparative analysis of the informational efficiency of the fixed income market in seven European countries
title_full_unstemmed A comparative analysis of the informational efficiency of the fixed income market in seven European countries
title_sort A comparative analysis of the informational efficiency of the fixed income market in seven European countries
dc.creator.none.fl_str_mv Fernández Bariviera, Aurelio
Guercio, María Belén
Martinez, Lisana Belén
author Fernández Bariviera, Aurelio
author_facet Fernández Bariviera, Aurelio
Guercio, María Belén
Martinez, Lisana Belén
author_role author
author2 Guercio, María Belén
Martinez, Lisana Belén
author2_role author
author
dc.subject.none.fl_str_mv Corporate Bonds
Financial Crisis
Long Range Dependence
Sovereign Bonds
topic Corporate Bonds
Financial Crisis
Long Range Dependence
Sovereign Bonds
purl_subject.fl_str_mv https://purl.org/becyt/ford/5.2
https://purl.org/becyt/ford/5
dc.description.none.fl_txt_mv This letter investigates the time-varying behavior of long memory in sovereign and corporate bond indices of seven European Union countries from July 1998 to November 2011. We compute the Hurst exponent and detect that the current financial crisis affects more the informational efficiency of the corporate bond market than the sovereign bond market. © 2012 Elsevier B.V.
Fil: Fernández Bariviera, Aurelio. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universitat Rovira I Virgili; España. Centro de Estudios Científicos y Técnicos; Argentina
Fil: Guercio, María Belén. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universitat Rovira I Virgili; España
Fil: Martinez, Lisana Belén. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universitat Rovira I Virgili; España
description This letter investigates the time-varying behavior of long memory in sovereign and corporate bond indices of seven European Union countries from July 1998 to November 2011. We compute the Hurst exponent and detect that the current financial crisis affects more the informational efficiency of the corporate bond market than the sovereign bond market. © 2012 Elsevier B.V.
publishDate 2012
dc.date.none.fl_str_mv 2012-09
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/11336/66311
Fernández Bariviera, Aurelio; Guercio, María Belén; Martinez, Lisana Belén; A comparative analysis of the informational efficiency of the fixed income market in seven European countries; North-holland; Economics Letters; 116; 3; 9-2012; 426-428
0165-1765
CONICET Digital
CONICET
url http://hdl.handle.net/11336/66311
identifier_str_mv Fernández Bariviera, Aurelio; Guercio, María Belén; Martinez, Lisana Belén; A comparative analysis of the informational efficiency of the fixed income market in seven European countries; North-holland; Economics Letters; 116; 3; 9-2012; 426-428
0165-1765
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/pii/S0165176512001887
info:eu-repo/semantics/altIdentifier/doi/10.1016/j.econlet.2012.04.047
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
application/pdf
application/pdf
dc.publisher.none.fl_str_mv North-holland
publisher.none.fl_str_mv North-holland
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_ 1846083132015509504
score 13.22299

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