Predictability dynamics of emerging sovereign CDS markets
| dc.citation.epage | 9 | en_US |
| dc.citation.spage | 5 | en_US |
| dc.citation.volumeNumber | 161 | en_US |
| dc.contributor.author | Şensoy, Ahmet | en_US |
| dc.contributor.author | Fabozzi, Frank J. | en_US |
| dc.contributor.author | Eraslan, Veysel | en_US |
| dc.date.accessioned | 2018-04-12T11:12:29Z | |
| dc.date.available | 2018-04-12T11:12:29Z | |
| dc.date.issued | 2017 | en_US |
| dc.department | Faculty of Business Administration | en_US |
| dc.description.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. | en_US |
| dc.description.provenance | Made available in DSpace on 2018-04-12T11:12:29Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 179475 bytes, checksum: ea0bedeb05ac9ccfb983c327e155f0c2 (MD5) Previous issue date: 2017 | en |
| dc.embargo.release | 2019-12-01 | en_US |
| dc.identifier.doi | 10.1016/j.econlet.2017.09.015 | en_US |
| dc.identifier.eissn | 1873-7374 | en_US |
| dc.identifier.issn | 0165-1765 | |
| dc.identifier.uri | http://hdl.handle.net/11693/37402 | |
| dc.language.iso | English | en_US |
| dc.publisher | Elsevier B.V. | en_US |
| dc.relation.isversionof | http://dx.doi.org/10.1016/j.econlet.2017.09.015 | en_US |
| dc.source.title | Economics Letters | en_US |
| dc.subject | CDS | en_US |
| dc.subject | Efficient market hypothesis (EMH) | en_US |
| dc.subject | Permutation entropy | en_US |
| dc.title | Predictability dynamics of emerging sovereign CDS markets | en_US |
| dc.type | Article | en_US |
Files
Original bundle
1 - 1 of 1
Loading...
- Name:
- Predictability dynamics of emerging sovereign CDS markets.pdf
- Size:
- 564.05 KB
- Format:
- Adobe Portable Document Format
- Description:
- Full printable version