EconPapers    
Economics at your fingertips  
 

Is the sovereign debt market efficient? Evidence from the US and German sovereign debt markets

Bachar Fakhry and Christian Richter ()

International Economics and Economic Policy, 2015, vol. 12, issue 3, 339-357

Abstract: This paper analyses the efficient market hypothesis. It proposes a new method of testing the efficient market hypothesis based on the idea of Shiller ( 1979 ). Using a GARCH model, we test whether the excess volatility in the German and US sovereign debt markets is an indication of inefficient markets during different periods. The results indicate that omitting structural breaks may lead to wrong results. We find that although both debts were efficient during some periods and inefficient during other periods of time. Taking all periods together the financial markets appear to be inefficient. Hence, the general outcome was that both financial markets are not efficient markets. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Shiller volatility test; Efficient market hypothesis; Neoclassical economics; Bounded rationality; Applied econometrics; C2; C5; F3; G14; G15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1007/s10368-014-0304-9 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:iecepo:v:12:y:2015:i:3:p:339-357

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10368/PS2

DOI: 10.1007/s10368-014-0304-9

Access Statistics for this article

International Economics and Economic Policy is currently edited by Paul J.J. Welfens, Holger C. Wolf, Christian Pierdzioch and Christian Richter

More articles in International Economics and Economic Policy from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2021-04-06
Handle: RePEc:kap:iecepo:v:12:y:2015:i:3:p:339-357