On the efficiency of sovereign bond markets
The existence of memory in financial time series has been extensively studied for several stock markets around the world by means of different approaches. However, fixed income markets, i.e. those where corporate and sovereign bonds are traded, have been much less studied. We believe that, given the...
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| Autores principales: | , , , , |
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| Formato: | Articulo Preprint |
| Lenguaje: | Inglés |
| Publicado: |
2012
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| Acceso en línea: | http://sedici.unlp.edu.ar/handle/10915/100420 https://ri.conicet.gov.ar/11336/59368 |
| Aporte de: |
| id |
I19-R120-10915-100420 |
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| record_format |
dspace |
| institution |
Universidad Nacional de La Plata |
| institution_str |
I-19 |
| repository_str |
R-120 |
| collection |
SEDICI (UNLP) |
| language |
Inglés |
| topic |
Matemática Bandt and pompe method Complexity-entropy causality plane Ordinal time series analysis Permutation entropy Permutation statistical complexity Sovereign bond market efficiency |
| spellingShingle |
Matemática Bandt and pompe method Complexity-entropy causality plane Ordinal time series analysis Permutation entropy Permutation statistical complexity Sovereign bond market efficiency Zunino, Luciano José Fernández Bariviera, Aurelio Guercio, María Belén Martínez, Lisana Belén Rosso, Osvaldo Aníbal On the efficiency of sovereign bond markets |
| topic_facet |
Matemática Bandt and pompe method Complexity-entropy causality plane Ordinal time series analysis Permutation entropy Permutation statistical complexity Sovereign bond market efficiency |
| description |
The existence of memory in financial time series has been extensively studied for several stock markets around the world by means of different approaches. However, fixed income markets, i.e. those where corporate and sovereign bonds are traded, have been much less studied. We believe that, given the relevance of these markets, not only from the investors', but also from the issuers' point of view (government and firms), it is necessary to fill this gap in the literature. In this paper, we study the sovereign market efficiency of thirty bond indices of both developed and emerging countries, using an innovative statistical tool in the financial literature: the complexity-entropy causality plane. This representation space allows us to establish an efficiency ranking of different markets and distinguish different bond market dynamics. We conclude that the classification derived from the complexity-entropy causality plane is consistent with the qualifications assigned by major rating companies to the sovereign instruments. Additionally, we find a correlation between permutation entropy, economic development and market size that could be of interest for policy makers and investors. |
| format |
Articulo Preprint |
| author |
Zunino, Luciano José Fernández Bariviera, Aurelio Guercio, María Belén Martínez, Lisana Belén Rosso, Osvaldo Aníbal |
| author_facet |
Zunino, Luciano José Fernández Bariviera, Aurelio Guercio, María Belén Martínez, Lisana Belén Rosso, Osvaldo Aníbal |
| author_sort |
Zunino, Luciano José |
| title |
On the efficiency of sovereign bond markets |
| title_short |
On the efficiency of sovereign bond markets |
| title_full |
On the efficiency of sovereign bond markets |
| title_fullStr |
On the efficiency of sovereign bond markets |
| title_full_unstemmed |
On the efficiency of sovereign bond markets |
| title_sort |
on the efficiency of sovereign bond markets |
| publishDate |
2012 |
| url |
http://sedici.unlp.edu.ar/handle/10915/100420 https://ri.conicet.gov.ar/11336/59368 |
| work_keys_str_mv |
AT zuninolucianojose ontheefficiencyofsovereignbondmarkets AT fernandezbarivieraaurelio ontheefficiencyofsovereignbondmarkets AT guerciomariabelen ontheefficiencyofsovereignbondmarkets AT martinezlisanabelen ontheefficiencyofsovereignbondmarkets AT rossoosvaldoanibal ontheefficiencyofsovereignbondmarkets |
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Repositorios |
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1764820440363040768 |