Informational Efficiency in Distressed Markets
Author | : Aurelio F. Bariviera |
Publisher | : |
Total Pages | : 22 |
Release | : 2015 |
ISBN-10 | : OCLC:1306449279 |
ISBN-13 | : |
Rating | : 4/5 (79 Downloads) |
Download or read book Informational Efficiency in Distressed Markets written by Aurelio F. Bariviera and published by . This book was released on 2015 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the effect of the 2008 financial crisis on informational efficiency by carrying out a long-memory analysis of European corporate bond markets. We compute the Hurst exponent for fifteen sectorial indices to scrutinise the time-varying behaviour of long-range memory, applying a shuffling technique to avoid short-term correlation. We find that the financial crisis has uneven effects on the informational efficiency of all corporate bond sectors, especially those related to financial services. However, their vulnerability is not homogeneous and some nonfinancial sectors suffer only a transitory effect.