Predictability dynamics of emerging sovereign CDS markets
Date
2017
Editor(s)
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Supervisor
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Instructor
Source Title
Economics Letters
Print ISSN
0165-1765
Electronic ISSN
1873-7374
Publisher
Elsevier B.V.
Volume
161
Issue
Pages
5 - 9
Language
English
Type
Journal Title
Journal ISSN
Volume Title
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Abstract
We compare the time-varying weak-form efficiency of Credit Default Swap (CDS) markets of 15 emerging countries by using permutation entropy approach. We find that CDS markets have different degrees of time-varying efficiency. Using several robustness test, we find that Thailand, China, South Korea and Malaysia have the most efficient CDS markets while South Africa, Colombia and Turkey are the least efficient. Our results show that CDS markets can be efficient even in the crisis episodes. Our findings also suggest a strong negative relation between sovereign risk and CDS market efficiency. © 2017 Elsevier B.V.