Add to ORKGThis 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.Fil: Fernández, Aurelio. Universitat Rovira I Virgili; EspañaFil: Guercio, María Belén. Universidad Provincial del Sudoest...
This paper analyses high frequency MTS data to comprehensively evaluate the liquidity of the Europea...
This paper analyses high frequency MTS data to comprehensively evaluate the liquidity of the Europea...
This paper analyses the information structure of European investors on the eve of the Baring crisis...
Abstract: This paper investigates the effect of the 2008 financial crisis on informational efficienc...
Abstract: This paper investigates the effect of the 2008 financial crisis on informational efficienc...
This letter investigates the time-varying behavior of long memory in sovereign and corporate bond in...
This paper investigates the presence of long memory in corporate bond and stock indices of six Europ...
In this paper the permutation min-entropy has been implemented to unveil the presence of temporal st...
In this paper we study the evolution of the informational efficiency in its weak form for seventeen ...
The role of credit rating agencies has been under severe scrutiny after the subprime crisis. In this...
Bonds have become an important part of investment portfolios for individuals as well as for institut...
The existence of memory in financial time series has been extensively studied for several stock mark...
We analyze the relationship between returns on equity and long-term government bonds in the crisis-h...
This paper examines the behavior of financial markets efficiency during the recent financial market ...
The existence of memory in financial time series has been extensively studied for several stock mark...
This paper analyses high frequency MTS data to comprehensively evaluate the liquidity of the Europea...
This paper analyses high frequency MTS data to comprehensively evaluate the liquidity of the Europea...
This paper analyses the information structure of European investors on the eve of the Baring crisis...
Abstract: This paper investigates the effect of the 2008 financial crisis on informational efficienc...
Abstract: This paper investigates the effect of the 2008 financial crisis on informational efficienc...
This letter investigates the time-varying behavior of long memory in sovereign and corporate bond in...
This paper investigates the presence of long memory in corporate bond and stock indices of six Europ...
In this paper the permutation min-entropy has been implemented to unveil the presence of temporal st...
In this paper we study the evolution of the informational efficiency in its weak form for seventeen ...
The role of credit rating agencies has been under severe scrutiny after the subprime crisis. In this...
Bonds have become an important part of investment portfolios for individuals as well as for institut...
The existence of memory in financial time series has been extensively studied for several stock mark...
We analyze the relationship between returns on equity and long-term government bonds in the crisis-h...
This paper examines the behavior of financial markets efficiency during the recent financial market ...
The existence of memory in financial time series has been extensively studied for several stock mark...
This paper analyses high frequency MTS data to comprehensively evaluate the liquidity of the Europea...
This paper analyses high frequency MTS data to comprehensively evaluate the liquidity of the Europea...
This paper analyses the information structure of European investors on the eve of the Baring crisis...