Efficiency in the eurobond market: application of nonparametric techniques

Maria Bonilla-Musoles, Leandro Garcia-Menendez and Ma Luisa Marti-Selva

Applied Financial Economics, 2007, vol. 17, issue 6, 431-444

Abstract: The aim of this article is to analyse the efficiency of eurobond issuers within the primary market, from 1995 to 2000. The study includes a reference to theoretical discussion and to the methodology used; detailed explanation of the variables considered which, in order to supplement those strictly financial, include others such as spread from Interest Rate Risk (IRR) and respective swap; rating, duration and size; and macroeconomic fundamentals of the issuer country. Results and conclusions obtained from the static and dynamic efficiency analyses are then illustrated and discussed.

Date: 2007
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DOI: 10.1080/09603100600706774

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