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| DOI | 10.1016/J.PHYSA.2016.03.007 | ||||
| Año | 2016 | ||||
| Tipo | artículo de investigación |
Citas Totales
Autores Afiliación Chile
Instituciones Chile
% Participación
Internacional
Autores
Afiliación Extranjera
Instituciones
Extranjeras
In this paper the permutation min-entropy has been implemented to unveil the presence of temporal structures in the daily values of European corporate bond indices from April 2001 to August 2015. More precisely, the informational efficiency evolution of the prices of fifteen sectorial indices has been carefully studied by estimating this information theory-derived symbolic tool over a sliding time window. Such a dynamical analysis makes possible to obtain relevant conclusions about the effect that the 2008 credit crisis has had on the different European corporate bond sectors. It is found that the informational efficiency of some sectors, namely banks, financial services, insurance, and basic resources, has been strongly reduced due to the financial crisis whereas another set of sectors, integrated by chemicals, automobiles, media, energy, construction, industrial goods & services, technology, and telecommunications has only suffered a transitory loss a behavior close to a random walk practically along all the period of analysis, confirming a remarkable immunity against the 2008 financial crisis. (C) 2016 Elsevier B.V. All rights reserved.
| Ord. | Autor | Género | Institución - País |
|---|---|---|---|
| 1 | Zunino, Luciano | Hombre |
Ctr Invest Opt CONICET La Plata CIC - Argentina
UNIV NACL LA PLATA - Argentina Centro de Investigaciones Opticas - La Plata - Argentina Facultad de Ingeniería, Universidad Nacional de La Plata - Argentina Comision de Investigaciones Cientificas - La Plata - Argentina Consejo Nacional de Investigaciones Científicas y Técnicas - Argentina |
| 2 | Bariviera, Aurelio F. | Hombre |
Univ Rovira & Virgili - España
Universitat Rovira i Virgili - España |
| 3 | GUERCIO, MARIA BELEN | Mujer |
UNS CONICET - Argentina
Univ Prov Sudoeste UPSO - Argentina Consejo Nacional de Investigaciones Científicas y Técnicas - Argentina Universidad Provincial del Sudoeste - Argentina |
| 3 | Guercio, M. Belén | - |
Universidad Nacional del Sur - Argentina
Universidad Provincial del Sudoeste (UPSO) - Argentina UNS CONICET - Argentina Univ Prov Sudoeste UPSO - Argentina Consejo Nacional de Investigaciones Científicas y Técnicas - Argentina Universidad Provincial del Sudoeste - Argentina |
| 4 | Martinez, Lisana B. | - |
UNS CONICET - Argentina
Univ Prov Sudoeste UPSO - Argentina Universidad Nacional del Sur - Argentina Universidad Provincial del Sudoeste (UPSO) - Argentina Consejo Nacional de Investigaciones Científicas y Técnicas - Argentina Universidad Provincial del Sudoeste - Argentina |
| 5 | Rosso, Osvaldo A. | Hombre |
Univ Fed Alagoas UFAL - Brasil
ITBA - Argentina Universidad de Los Andes, Chile - Chile Universidade Federal de Alagoas - Brasil Instituto Tecnológico de Buenos Aires (ITBA) - Argentina |
| Fuente |
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| Consejo Nacional de Investigaciones Científicas y Técnicas |
| Universidad Nacional de La Plata |
| Universidad Nacional de La Plata, Argentina |
| Consejo Nacional de Investigaciones CientÃficas y Técnicas |
| Consejo Nacional de Investigaciones Cientificas y Tecnicas (CONICET), Argentina |
| Agradecimiento |
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| The authors thank reviewers for their constructive comments and suggestions. Luciano Zunino, Lisana B. Martinez, M. Belen Guercio and Osvaldo A. Rosso acknowledge financial support from Consejo Nacional de Investigaciones Cientificas y Tecnicas (CONICET), Argentina. Luciano Zunino also thanks Universidad Nacional de La Plata, Argentina (Incentive Project 11/1170) for its partial support of this research. |
| The authors thank reviewers for their constructive comments and suggestions. Luciano Zunino, Lisana B. Martinez, M. Belén Guercio and Osvaldo A. Rosso acknowledge financial support from Consejo Nacional de Investigaciones Científicas y Técnicas (CONICET) , Argentina. Luciano Zunino also thanks Universidad Nacional de La Plata, Argentina (Incentive Project 11/I170) for its partial support of this research. |