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https://ruomo.lib.uom.gr/handle/7000/643
Title: | Credit market Jitters in the course of the financial crisis: A permutation entropy approach in measuring informational efficiency in financial assets |
Authors: | Siokis, Fotios M. |
Type: | Article |
Subjects: | FRASCATI::Social sciences FRASCATI::Engineering and technology |
Keywords: | Permutation entropy Financial crisis Financial markets Informational efficiency |
Issue Date: | 1-Jun-2018 |
Source: | Physica A: Statistical Mechanics and its Applications |
Volume: | 499 |
First Page: | 266 |
Last Page: | 275 |
Abstract: | We explore the evolution of the informational efficiency for specific instruments of the U.S. money, bond and stock exchange markets, prior and after the outbreak of the Great Recession. We utilize the permutation entropy and the complexity-entropy causality plane to rank the time series and measure the degree of informational efficiency. We find that after the credit crunch and the collapse of Lehman Brothers the efficiency level of specific money market instruments’ yield falls considerably. This is an evidence of less uncertainty included in predicting the related yields throughout the financial disarray. Similar trend is depicted in the indices of the stock exchange markets but efficiency remains in much higher levels. On the other hand, bond market instruments maintained their efficiency levels even after the outbreak of the crisis, which could be interpreted into greater randomness and less predictability of their yields. |
URI: | https://ruomo.lib.uom.gr/handle/7000/643 |
ISSN: | 0378-4371 |
Electronic ISSN: | 0378-4371 |
Appears in Collections: | Department of Balkan, Slavic & Oriental Studies |
Files in This Item:
File | Description | Size | Format | |
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Credit Market Jitters in the course of the Financial Crisis.pdf | 1,07 MB | Adobe PDF | View/Open |
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