Informational efficiency in distressed markets: The case of European corporate bonds

Autores
Fernández, Aurelio; Guercio, María Belén; Martinez, Lisana Belén
Año de publicación
2014
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
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.
Fil: Fernández, Aurelio. Universitat Rovira I Virgili; España
Fil: Guercio, María Belén. Universidad Provincial del Sudoeste; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Investigaciones Económicas y Sociales del Sur. Universidad Nacional del Sur. Departamento de Economía. Instituto de Investigaciones Económicas y Sociales del Sur; Argentina
Fil: Martinez, Lisana Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Investigaciones Económicas y Sociales del Sur. Universidad Nacional del Sur. Departamento de Economía. Instituto de Investigaciones Económicas y Sociales del Sur; Argentina. Universidad Provincial del Sudoeste; Argentina
Materia
Efficient Market Hypothesis
Financial Crisis
Corporate Bonds
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/100394
Acceder
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network_name_str CONICET Digital (CONICET)
spelling Informational efficiency in distressed markets: The case of European corporate bondsFernández, AurelioGuercio, María BelénMartinez, Lisana BelénEfficient Market HypothesisFinancial CrisisCorporate Bondshttps://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5This 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.Fil: Fernández, Aurelio. Universitat Rovira I Virgili; EspañaFil: Guercio, María Belén. Universidad Provincial del Sudoeste; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Investigaciones Económicas y Sociales del Sur. Universidad Nacional del Sur. Departamento de Economía. Instituto de Investigaciones Económicas y Sociales del Sur; ArgentinaFil: Martinez, Lisana Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Investigaciones Económicas y Sociales del Sur. Universidad Nacional del Sur. Departamento de Economía. Instituto de Investigaciones Económicas y Sociales del Sur; Argentina. Universidad Provincial del Sudoeste; ArgentinaEconomic and Social Studies2014-08info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/100394Fernández, Aurelio; Guercio, María Belén; Martinez, Lisana Belén; Informational efficiency in distressed markets: The case of European corporate bonds; Economic and Social Studies; Economic and Social Review; 45; 3; 8-2014; 349-3690012-9984CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/url/https://econpapers.repec.org/article/esojournl/v_3a45_3ay_3a2014_3ai_3a3_3ap_3a349-369.htminfo:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-10-22T11:59:05Zoai:ri.conicet.gov.ar:11336/100394instacron: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:34982025-10-22 11:59:05.555CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Informational efficiency in distressed markets: The case of European corporate bonds
title Informational efficiency in distressed markets: The case of European corporate bonds
spellingShingle Informational efficiency in distressed markets: The case of European corporate bonds
Fernández, Aurelio
Efficient Market Hypothesis
Financial Crisis
Corporate Bonds
title_short Informational efficiency in distressed markets: The case of European corporate bonds
title_full Informational efficiency in distressed markets: The case of European corporate bonds
title_fullStr Informational efficiency in distressed markets: The case of European corporate bonds
title_full_unstemmed Informational efficiency in distressed markets: The case of European corporate bonds
title_sort Informational efficiency in distressed markets: The case of European corporate bonds
dc.creator.none.fl_str_mv Fernández, Aurelio
Guercio, María Belén
Martinez, Lisana Belén
author Fernández, Aurelio
author_facet Fernández, 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 Efficient Market Hypothesis
Financial Crisis
Corporate Bonds
topic Efficient Market Hypothesis
Financial Crisis
Corporate 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 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.
Fil: Fernández, Aurelio. Universitat Rovira I Virgili; España
Fil: Guercio, María Belén. Universidad Provincial del Sudoeste; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Investigaciones Económicas y Sociales del Sur. Universidad Nacional del Sur. Departamento de Economía. Instituto de Investigaciones Económicas y Sociales del Sur; Argentina
Fil: Martinez, Lisana Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Investigaciones Económicas y Sociales del Sur. Universidad Nacional del Sur. Departamento de Economía. Instituto de Investigaciones Económicas y Sociales del Sur; Argentina. Universidad Provincial del Sudoeste; Argentina
description 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.
publishDate 2014
dc.date.none.fl_str_mv 2014-08
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/11336/100394
Fernández, Aurelio; Guercio, María Belén; Martinez, Lisana Belén; Informational efficiency in distressed markets: The case of European corporate bonds; Economic and Social Studies; Economic and Social Review; 45; 3; 8-2014; 349-369
0012-9984
CONICET Digital
CONICET
url http://hdl.handle.net/11336/100394
identifier_str_mv Fernández, Aurelio; Guercio, María Belén; Martinez, Lisana Belén; Informational efficiency in distressed markets: The case of European corporate bonds; Economic and Social Studies; Economic and Social Review; 45; 3; 8-2014; 349-369
0012-9984
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://econpapers.repec.org/article/esojournl/v_3a45_3ay_3a2014_3ai_3a3_3ap_3a349-369.htm
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
application/pdf
dc.publisher.none.fl_str_mv Economic and Social Studies
publisher.none.fl_str_mv Economic and Social Studies
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 12.982451

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