Artigo

Non-linear tests of weakly efficient markets: evidence from government bond markets in the euro area

Cadernos do Mercado de Valores Mobiliários, Vol. 3 (1998), No. 1, 43-70


António Afonso, João Teixeira

Sinopse:


ln this study we analyse twelve financial time series: the closing daily price quotes for the ten year government bond benchmarks for nine Euro countries, Portugal, France, Belgium, Italy, Germany, Austria, Finland, Netherlands and Spain and also the two European Union countries that opted out from the Euro, Denmark and United Kingdom. The United States is also included in the sample, as a measure of comparison, since the bond market capitalisation in this country matches the capitalisation of the entire Euro countries bond markets. The data was downloaded from Reuters and Table I describes the accurate samples along with its main statistical features. All

series are plotted on Figures I to I2, presented on Annex I.


Ficha técnica

Título: Non-linear tests of weakly efficient markets: evidence from government bond markets in the euro area

Autor(es): António Afonso, João Teixeira

Páginas: 28

Copyright (revista): CC Outro

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