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Journal of Asset Management

, Volume 20, Issue 7, pp 581–608 | Cite as

On the informational market efficiency of the worldwide sovereign credit default swaps

  • Saker SabkhaEmail author
  • Christian de Peretti
  • Dorra Hmaied
Original Article
  • 14 Downloads

Abstract

In this globalizing world, the search for predictions of asset returns across financial markets has challenged practitioners and academics for decades. Aware of this issue importance in developing investment strategy, we aim in this paper to give new evidence on the efficiency degree of the sovereign CDS markets. The new framework, used in this paper, combining a VECM and a FIGARCH models by a three-step estimation allows us to greatly improve the accuracy of the econometric estimates. Using data from 37 countries all over the world, throughout the period spanning from January 2006 to March 2017, our study provides worldwide evidence rejecting to some extent, conversely to the results of the literature, the randomness of the credit derivative markets. The implication of our results is that speculators can beat the market by predicting CDS performances, especially during crisis periods.

Keywords

Market efficiency Worldwide sovereign CDS VECM–FIGARCH 

JEL Classification

G01 G14 

Notes

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Copyright information

© Springer Nature Limited 2019

Authors and Affiliations

  1. 1.Laboratory LEGO (EA-2652)Insitute of Management, University of South BrittanyVannesFrance
  2. 2.Univ Lyon, University Claude Bernard Lyon 1LyonFrance
  3. 3.Laboratory LEFA, Institute of High Commercial StudiesUniv of Carthage1054 CarthageTunisia

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