M. Belén Guercio

EL CRECIMIENTO ECONÓMICO Y EL DESARROLLO DEL SISTEMA FINANCIERO. UN ANÁLISIS COMPARATIVO

The purpose of this paper is to examine the relationship between the financial development and economic growth in Latin American countries. First, we show the high correlation between financial system indicators and GDP. Second, we test out that regardless the financial structure of each country; in most Latin American economies the banking sector has a higher

Efficiency and Credit Ratings: A Permutation-Information-Theory Analysis

The role of credit rating agencies has been under severe scrutiny after the subprime crisis. In this paper we explore the relationship between credit ratings and informational efficiency of a sample of thirty nine corporate bonds of US oil and energy companies from April 2008 to November 2012. For that purpose, we use a powerful statistical tool relatively new in the financial literature: the complexity-entropy causality plane. This representation space allows to graphically classify the different bonds according to their degree of informational efficiency. We find that this classification agrees with the credit ratings assigned by Moodys. Particularly, we detect the formation of two clusters, that correspond to the global categories of investment and speculative grades. Regarding to the latter cluster, two subgroups reflect distinct levels of efficiency. Additionally, we also find an intriguing absence of correlation between informational efficiency and firm characteristics. This allows us to conclude that the proposed permutation-information-theory approach provides an alternative practical way to justify bond classification.

The Impact of the Financial Crisis on the Long-Range Memory of European Corporate Bond and Stock Markets

This paper investigates the presence of long memory in corporate bond and stock indices of six European Union countries from July 1998 to February 2015. We compute the Hurst exponent by means of the DFA method and using a sliding window in order to measure long range dependence. We detect that Hurst exponents behave differently in the stock and bond markets, being smoother in the stock indices than in the bond indices. We verify that the level of informational efficiency is time-varying. Moreover we find an asymmetric impact of the 2008 financial crisis in the fixed income and the stock markets, affecting the former but not the latter. Similar results are obtained using the R/S method.

Sovereign Bond Spreads and Economic Variables of European Countries Under the Analysis of Self-organizing Maps

This paper presents an empirical analysis related to sovereign bond spreads and a set of economic variables since 1999 until 2013 for a sample of European countries. The analysis is carried out using an original tool in the financial literature: Self-Organizing Maps. This representation is able to cluster countries-years according to the similarities between their main macroeconomic fundamentals. We find interesting groups of countries and we relate them with their level of sovereign bond spreads. The results reflect the incidence of the last financial crisis over the economies and the effect over the eurozone.

THE EFFECT OF CHANGES OF THE HURST EXPONENT IN RETURN PREDICTABILITY: THE CASE OF THE DUTCH MARKET

The Efficient Market Hypothesis, in its weakest form, tells that security prices reflect all the information contained in the series of past prices and precludes the possibility of forecasts based on them. This paper explores if changes in the Hurst exponent affect the forecasts provided by an Artificial Neural Network. We use a Multilayer Perceptron network to forecast the daily return of the indices of stock and corporate bonds in the Dutch market. The network is trained using a back propagation algorithm. Our main findings are: (i) the Artificial Neural Network reaches better returns than a simple buy-and-hold strategy and (ii) the change in the Hurst exponent, that supposedly reflects a change in the long-range memory in the time series, does not increase the goodness of the forecast. This implies that the Efficient Market Hypothesis in its weak form is cast into doubt but the change in the memory endowment is not detected by the ANN.