A comparative analysis of the informational efficiency of the fixed income market in seven European countries

Bariviera, Aurelio F.; Guercio, Maria; Martínez, Lisana B.

doi:10.1016/j.econlet.2012.04.047

Cited by 43 publications

(29 citation statements)

References 20 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Their results suggest that, given the relatively high transaction costs for corporate bonds compared to those for equities as shown in Edwards et al (2007), only bonds with a high degree of sensitivity to firmspecific news will transact when news is released and thus reveal the lesser informational efficiency of the bond market. Bariviera et al (2012) examine the time-varying behavior of long memory in sovereign and corporate bond indices of seven European Union countries from July 1998 to November 2011. Based on the Hurst exponent, they find evidence of long memory in both bond markets and detect that the global financial crisis affected differently both markets, deteriorating the efficiency of corporate bonds and enhancing the informational efficiency of sovereign bonds.…”

Section: Literature Reviewmentioning

confidence: 99%

Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data

Charfeddine

Khediri

Aye

et al. 2018

Physica A: Statistical Mechanics and its Applications

View full text Add to dashboard Cite

Highlights • The paper analyzes the Adaptive Market Hypothesis (AMH). • Monthly data on government bond for US and UK South Africa and India were used. • Analyses were conducted using time varying and long memory approaches. • The efficiency of the four markets has been changing over time. • The change depends on the prevailing economic, political and market conditions. • The US bond market exhibits the highest degree of market efficiency.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data

Charfeddine

Khediri

Aye

et al. 2018

Physica A: Statistical Mechanics and its Applications

View full text Add to dashboard Cite

show abstract

“…Eom et al [9] report a positive relationship between the predictability of the hit rate and the degree of efficiency, concluding that the prediction of future price changes is feasible by using the Hurst exponent as a measurement. Bariviera et al [10] studied the long varying behavior of sovereign and corporate bond markets of seven EU countries. Using the Detrended Fluctuation Analysis (DFA) and the sliding window technique, they report different memory dynamics in bond indices, after the Great Recession.…”

Section: Introductionmentioning

confidence: 99%

Spillover effects of Great Recession on Hong-Kong’s Real Estate Market: An analysis based on Causality Plane and Tsallis Curves of Complexity–Entropy

Argyroudis

Siokis

2019

Physica A: Statistical Mechanics and its Applications

View full text Add to dashboard Cite

“…These data are shown in Fig.2. Previous work on the analysis of market eiciency with multiple indices over a similar time period has demonstrated a change in the H lder exponent with the 2008 change in market conditions for both corporate bond indices and sovereign bond indices [59]. Hence, our study explores a complementary hypothesis regarding a change in coupling between H lder exponent and values for the log-returns.…”

Section: The Indices and Calculation Of Normalized Log-returnsmentioning

confidence: 87%

Gradual multifractal reconstruction of time-series: Formulation of the method and an application to the coupling between stock market indices and their Hölder exponents

Keylock

2018

Physica D: Nonlinear Phenomena

View full text Add to dashboard Cite

A technique termed gradual multifractal reconstruction (GMR) is formulated. A continuum is deined from a signal that preserves the pointwise H lder exponent (multifractal) structure of a signal but randomises the locations of the original data values with respect to this (φ = 0), to the original signal itself (φ = 1). We demonstrate that this continuum may be populated with synthetic time series by undertaking selective randomisation of wavelet phases using a dual-tree complex wavelet transform. That is, the φ = 0 end of the continuum is realised using the recently proposed iterated, amplitude adjusted wavelet transform algorithm [Keylock, C. J. 2017. Phys. Rev. E 95, 032123] that fully randomises the wavelet phases. This is extended to the GMR formulation by selective phase randomisation depending on whether or not the wavelet coeicient amplitudes exceeds a threshold criterion. An econophysics application of the technique is presented. The relation between the normalised log-returns and their H lder exponents for the daily returns of eight inancial indices are compared. One particularly noticeable result is the change for the two american indices (NASDAQ 100 and S&P 500) from a non-signiicant to a strongly signiicant (as determined using GMR) cross-correlation between the returns and their H lder exponents from before the 2008 crash to afterwards. This is also relected in the skewness of the phase diference distributions, which exhibit a geographical structure, with asian markets not exhibiting signiicant skewness in contrast to those from elsewhere globally.

show abstract

A comparative analysis of the informational efficiency of the fixed income market in seven European countries

Cited by 43 publications

References 20 publications

Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data

Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data

Spillover effects of Great Recession on Hong-Kong’s Real Estate Market: An analysis based on Causality Plane and Tsallis Curves of Complexity–Entropy

Gradual multifractal reconstruction of time-series: Formulation of the method and an application to the coupling between stock market indices and their Hölder exponents

Contact Info

Product

Resources

About