info:eu-repo/semantics/article
A comparative analysis of the informational efficiency of the fixed income market in seven European countries
Fecha
2012-09Registro en:
Fernández Bariviera, Aurelio; Guercio, María Belén; Martinez, Lisana Belén; A comparative analysis of the informational efficiency of the fixed income market in seven European countries; North-holland; Economics Letters; 116; 3; 9-2012; 426-428
0165-1765
CONICET Digital
CONICET
Autor
Fernández Bariviera, Aurelio
Guercio, María Belén
Martinez, Lisana Belén
Resumen
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. © 2012 Elsevier B.V.