Informational Efficiency in Distressed Markets: The Case of European Corporate Bonds

Aurelio Fernandez Bariviera, M. Belén Guercio and Lisana B. Martinez
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M. Belén Guercio: Instituto de Investigaciones Económicas y Sociales del Sur, CONICET; Universidad Nacional del Sur; Universidad Provincial del Sudoeste, Bahía Blanca, Argentina
Lisana B. Martinez: Instituto de Investigaciones Económicas y Sociales del Sur, CONICET; Universidad Nacional del Sur; Universidad Provincial del Sudoeste, Bahía Blanca, Argentina

The Economic and Social Review, 2014, vol. 45, issue 3, 349-369

Abstract: 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.

Keywords: distressed markets; European corporate bonds (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eso:journl:v:45:y:2014:i:3:p:349-369

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