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

Aurelio Fernandez Bariviera, M. Belén Guercio and Lisana B. Martinez

Economics Letters, 2012, vol. 116, issue 3, 426-428

Abstract: 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.

Keywords: Financial crisis; Long range dependence; Corporate bonds; Sovereign bonds (search for similar items in EconPapers)
JEL-codes: G01 G14 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (32)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:116:y:2012:i:3:p:426-428

DOI: 10.1016/j.econlet.2012.04.047

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