A Comparative Analysis of the Informational Efficiency of the Fixed Income Market in Seven European Countries

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

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Year of publication:	2015
Authors:	Bariviera, Aurelio F.
Other Persons:	Guercio, M. Belén (contributor) ; Martinez, Lisana B. (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Vergleich \| Comparison \| Deutschland \| Germany \| Niederlande \| Netherlands \| Anleihe \| Bond \| Effizienzmarkthypothese \| Efficient market hypothesis \| Großbritannien \| United Kingdom \| Informationseffizienz \| Informational efficiency \| Italien \| Italy \| EU-Staaten \| EU countries

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Extent:	1 Online-Ressource (4 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Letters, Vol. 116, No. 3, 2012 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 12, 2012 erstellt
Classification:	G01 - Financial Crises ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013013956