INVESTIGADORES
GUERCIO Maria Belen
artículos
Título:
A comparative analysis of the informational efficiency of the fixed income market in seven European countries
Autor/es:
A., FERNÁNDEZ; GUERCIO, M.B.; MARTÍNEZ, L. B.
Revista:
ECONOMICS LETTERS
Editorial:
NORTH-HOLLAND
Referencias:
Lugar: Amsterdam; Año: 2012 vol. 116 p. 426 - 426
ISSN:
0165-1765
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.