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
- Institución
- Consejo Nacional de Investigaciones Científicas y Técnicas
- OAI Identificador
- oai:ri.conicet.gov.ar:11336/100394
Ver los metadatos del registro completo
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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 Técnicas2025-09-29T10:26:23Zoai: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:34982025-09-29 10:26:24.315CONICET 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/ |
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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 |
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CONICET Digital (CONICET) |
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CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas |
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dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar |
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13.070432 |