Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy

Luciano Zunino, Aurelio Fernandez Bariviera, M. Belén Guercio, Lisana B. Martinez and Osvaldo A. Rosso

Physica A: Statistical Mechanics and its Applications, 2016, vol. 456, issue C, 1-9

Abstract: In this paper the permutation min-entropy has been implemented to unveil the presence of temporal structures in the daily values of European corporate bond indices from April 2001 to August 2015. More precisely, the informational efficiency evolution of the prices of fifteen sectorial indices has been carefully studied by estimating this information-theory-derived symbolic tool over a sliding time window. Such a dynamical analysis makes possible to obtain relevant conclusions about the effect that the 2008 credit crisis has had on the different European corporate bond sectors. It is found that the informational efficiency of some sectors, namely banks, financial services, insurance, and basic resources, has been strongly reduced due to the financial crisis whereas another set of sectors, integrated by chemicals, automobiles, media, energy, construction, industrial goods & services, technology, and telecommunications has only suffered a transitory loss of efficiency. Last but not least, the food & beverage, healthcare, and utilities sectors show a behavior close to a random walk practically along all the period of analysis, confirming a remarkable immunity against the 2008 financial crisis.

Keywords: Informational efficiency; European corporate bond markets; Financial crisis; Long-range dependence; Permutation min-entropy; Ordinal patterns probabilities (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:456:y:2016:i:c:p:1-9

DOI: 10.1016/j.physa.2016.03.007

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