On the efficiency of sovereign bond markets

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• 作者：Luciano Zunino^a ; ^b ; ^{lucianoz@ciop.unlp.edu.ar} ; Aurelio Ferná ; ndez Bariviera^c ; ^{aurelio.fernandez@urv.net} ; M. Belé ; n Guercio^c ; ^{mariabelen.guercio@urv.net} ; Lisana B. Martinez^c ; ^{lisanabelen.martinez@urv.net} ; Osvaldo A. Rosso^d ; ^e ; ^{oarosso@fibertel.com.ar} ; ^{oarosso@gmail.com}
• 关键词：Sovereign bond market efficiency ; Complexity-entropy causality plane ; Permutation entropy ; Permutation statistical complexity ; Bandt and Pompe method ; Ordinal time series analysis
• 刊名：Physica A
• 出版年：2012
• 期刊代码：138_03784371
• 类别：et
• 出版时间：15 September, 2012
• 卷：391
• 期：18
• 页码：4342-4349
• 文件大小：312 K

摘要

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鈥? but also from the issuers鈥?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.