Informational Efficiency in Distressed Markets PDF Download

Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Informational Efficiency in Distressed Markets PDF full book. Access full book title Informational Efficiency in Distressed Markets by Aurelio F. Bariviera. Download full books in PDF and EPUB format.

Informational Efficiency in Distressed Markets

Informational Efficiency in Distressed Markets PDF Author: Aurelio F. Bariviera
Publisher:
ISBN:
Category :
Languages : en
Pages : 22

Get Book Here

Book Description
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.