Testing for multi-fractality and efficiency in selected sovereign bond markets: a multi-fractal detrended moving average (MF-DMA) analysis

Selçuk Bayraci

International Journal of Computational Economics and Econometrics, 2018, vol. 8, issue 1, 95-120

Abstract: This study examines the multifractality and relative efficiency in sovereign bond markets, using the multifractal detrended moving average (MF-DMA) approach to quantify the degree of multifractality in the international sovereign bond yields. We use the daily values of the 2-year maturity government bond yields for 12 countries between 2003 and 2014 for empirical analysis. Our results document that all bond markets show multifractal characteristics in various levels. High degree of multifractality is seen in the Spanish, Portuguese and Italian bond markets while low multifractality features belong to the Canadian and the US bond market. The source of multifractality is mainly due to the structure of the bond markets where the recent Eurozone debt crisis has manifested itself as extreme observations.

Keywords: sovereign bond markets; relative efficiency; multifractality. (search for similar items in EconPapers)
Date: 2018
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