On the efficiency of sovereign bond markets

Physica A: Statistical Mechanics and its Applications

Volumn 391, Issue 18, 2012, Pages 4342-4349

  Zunino, Luciano ^a,b   Fernández Bariviera, Aurelio ^c   Guercio, M Belén ^c   Martinez, Lisana B ^c   Rosso, Osvaldo A ^d,e  

^a Universidad Provincial del Sudoeste   (Argentina)

^b UNIVERSIDAD NACIONAL DE LA PLATA   (Argentina)

^c UNIVERSITAT ROVIRA I VIRGILI   (Spain)

^d FEDERAL UNIVERSITY OF ALAGOAS   (Brazil)

^e UNIVERSIDAD DE BUENOS AIRES   (Argentina)

Author keywords

Bandt and Pompe method; Complexity entropy causality plane; Ordinal time series analysis; Permutation entropy; Permutation statistical complexity; Sovereign bond market efficiency

Indexed keywords

COMMERCE; EFFICIENCY; ENTROPY; FINANCIAL DATA PROCESSING; FINANCIAL MARKETS; STATISTICAL MECHANICS; TIME SERIES ANALYSIS;

BANDT AND POMPE METHOD; COMPLEXITY-ENTROPY CAUSALITY PLANE; MARKET EFFICIENCY; ORDINAL TIME SERIES ANALYSIS; PERMUTATION ENTROPY; STATISTICAL COMPLEXITY;

INVESTMENTS;

EID: 84861858592     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2012.04.009     Document Type: Article

References (42)

1. L. Bachelier Théorie de la Spéculation 1900 Annales scientifiques de l'École Normale Supérieure Paris
2. P. Newman, M. Milgate, and J. Eatwell The New Palgrave Dictionary of Money & Finance 1992 Palgrave Macmillan
3. I. Bustillo, H. Velloso, Bond markets for Latin American debt in the 1990s, CEPAL Working Paper, ECLAC-CEPAL, 2000.
4. The development of bond markets in emerging economies, BIS Papers 11, Bank for International Settlements, 2002.
5. S.D. Jordan, and B.D. Jordan Seasonality in daily bond returns The Journal of Financial and Quantitative Analysis 26 1991 269 285
6. G.J. Alexander, and M.G. Ferri Day-of-the-week patterns in volume and prices of Nasdaq high-yield bonds The Journal of Portfolio Management 26 2000 33 40
7. A. Fernández Bariviera, and J. de Andrés Sánchez ¿Existe estacionalidad diaria en el mercado de bonos y obligaciones del estado? evidencia empírica en el período 1998-2003 Análisis Financiero 98 2005 16 21 (in Spanish)
8. C.G. Gilmore, B.M. Lucey, and M.W. Boscia Comovements in government bond markets: a minimum spanning tree analysis Physica A 389 2010 4875 4886
9. J. Dias Sovereign debt crisis in the European Union: a minimum spanning tree approach Physica A 391 2012 2046 2055
10. E.F. Fama Foundations of Finance: Portfolio Decisions and Securities Prices 1976 Basic Books New York
11. H.V. Roberts Stock-market patterns and financial analysis: methodological suggestions The Journal of Finance 14 1959 1 10
12. E.F. Fama Efficient capital markets: a review of theory and empirical work The Journal of Finance 25 1970 383 417
13. S.A. Ross Neoclassical Finance 2004 Princeton University Press Princeton (NJ)
14. S.J. Grossman, and J.E. Stiglitz On the impossibility of informationally efficient markets The American Economic Review 70 1980 393 408
15. J.A. Schumpeter The Theory of Economic Development: An Inquiry Into Profits, Capital, Credit, Interest, and The Business Cycle 1911 Harvard University Press Cambridge (MA)
16. R.E. Cameron Banking in The Early Stages of Industrialization: A Study in Comparative Economic History 1967 Oxford University Press New York
17. R.W. Goldsmith Financial Structure and Development (Study in Comparative Economics) 1969 Yale University Press New Haven (CT)
18. R.I. McKinnon Money and Capital in Economic Development 1973 Brookings Institution Press
19. R.G. King, and R. Levine Finance and growth: Shumpeter might be right Quarterly Journal of Economics 108 1993 717 737
20. J. De Gregorio, and P.E. Guidotti Financial development and economic growth World Development 23 1995 433 448
21. P. Arestis, A.D. Luintel, K.B. Luintel, Does financial structure matter? Economics Working Paper Archive 399, The Levy Economics Institute, 2004.
22. C.R. Harvey, Does the bond market do better than the stock market in predicting economic growth? SSRN eLibrary, 1989.
23. G. Fink, P. Haiss, and S. Hristoforova Credit, Bonds, Stocks and Growth in Seven Large Economies 2006 Europainstitut, WU Vienna University of Economics and Business Vienna
24. G. Fink, P. Haiss, and G. Vukšić Contribution of financial market segments at different stages of development: transition, cohesion and mature economies compared Journal of Financial Stability 5 2009 431 455
25. A. Terceño, and M.B. Guercio Economic growth and development of the financial system. a comparative analysis Investigaciones Europeas de Dirección y Economía de la Empresa 17 2011 33 46
26. L. Zunino, M. Zanin, B.M. Tabak, D.G. Pérez, and O.A. Rosso Complexity-entropy causality plane: a useful approach to quantify the stock market inefficiency Physica A 389 2010 1891 1901
27. L. Zunino, B.M. Tabak, F. Serinaldi, M. Zanin, D.G. Pérez, and O.A. Rosso Commodity predictability analysis with a permutation information theory approach Physica A 390 2011 876 890
28. S.R. Bentes, R. Menezes, and D.A. Mendes Long memory and volatility clustering: is the empirical evidence consistent across stock markets? Physica A 387 2008 3826 3830
29. D.P. Feldman, C.S. McTague, and J.P. Crutchfield The organization of intrinsic computation: complexity-entropy diagrams and the diversity of natural information processing Chaos 18 2008 043106 (15 pages)
30. P.W. Lamberti, M.T. Martín, A. Plastino, and O.A. Rosso Intensive entropic non-triviality measure Physica A 334 2004 119 131
31. R. López-Ruiz, H.L. Mancini, and X. Calbet A statistical measure of complexity Physical Letters A 209 1995 321 326
32. M.T. Martín, A. Plastino, and O.A. Rosso Generalized statistical complexity measures: geometrical and analytical properties Physica A 369 2006 439 462
33. R. Wackerbauer, A. Witt, H. Atmanspacher, J. Kurths, and H. Scheingraber A comparative classification of complexity measures Chaos, Solitons and Fractals 4 1994 133 173
34. C. Bandt, and B. Pompe Permutation entropy: a natural complexity measure for time series Physical Review Letters 88 2002 174102
35. J.M. Amigó, S. Zambrano, and M.A.F. Sanjuán True and false forbidden patterns in deterministic and random dynamics Europhysics Letters 79 2007 50001
36. M. Zanin Forbidden patterns in financial time series Chaos 18 2008 013119 (4 pages)
37. O.A. Rosso, L. Zunino, D.G. Pérez, A. Figliola, H.A. Larrondo, M. Garavaglia, M.T. Martín, and A. Plastino Extracting features of Gaussian self-similar stochastic processes via the Bandt & Pompe approach Physical Review E 76 2007 061114 (6 pages)
38. O.A. Rosso, H.A. Larrondo, M.T. Martín, A. Plastino, and M.A. Fuentes Distinguishing noise from chaos Physical Review Letters 99 2007 154102
39. M.S. Kumar, and T. Okimoto Dynamics of international integration of government securities' markets Journal of Banking & Finance 35 2011 142 154
40. L. Codogno, C. Favero, and A. Missale Yield spreads on EMU government bonds Economic Policy 18 2003 503 532
41. L. Zunino, M. Zanin, B.M. Tabak, D.G. Pérez, and O.A. Rosso Forbidden patterns, permutation entropy and stock market inefficiency Physica A 388 2009 2854 2864
42. T. Beck, A. Demirgüç-Kunt, Financial institutions and markets across countries and over time: data and analysis, The World Bank Policy Research Working Paper No. 4943, May 2009.