Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy

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

“…One possible reasons market may be inefficient is that, people become irrational when they face extraordinary events such as severe recessions or financial crises (Ito et al, 2014(Ito et al, , 2016. This is also consistent with the findings by Zunino et al (2016) who found that as a consequence of the financial crisis, sectors that are more closely related to the financial economy have reduced significantly their levels of informational efficiency whereas sectors more related to the real economy, maintain their levels of informational efficiency. However, the final stages of the markets seemed to be characterized by efficiency based on the t-statistics implying that these markets perhaps have learned to assimilate this information and become efficient.…”

Order patterns, their variation and change points in financial time series and Brownian motion

“…For chaotic dynamical systems, certain patterns will not appear [2]. Different versions of permutation entropy and the number of forbidden patterns were used to quantify and monitor the efficiency of stock [36] and bond markets [34,35]. The probabilities of patterns can be combined to form correlation functions [4,8].…”

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

“…Using sliding window to show the evolution of these quantifiers, a complex behavior is revealed, and temporal correlations in Libor rates are shown. Zunino et al [19] analyzed the efficiency of the European corporate bond sectorial indices before and during the financial crisis of 2007. The sectors that are connected to the financial economy like financial banks, insurance, basic resources and financial services have presented lower informational efficiency.…”