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

作者：Bariviera A F^*; Belen Guercio M; Martinez Lisana B

来源：Economics Letters, 2012, 116(3): 426-428.

DOI：10.1016/j.econlet.2012.04.047

• Financial crisis
• Long range dependence
• Corporate bonds
• Sovereign bonds

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.

• 出版日期2012-9