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Efficiency in the eurobond market: application of nonparametric techniques

Author

Listed:
  • Maria Bonilla-Musoles
  • Leandro Garcia-Menendez
  • Ma Luisa Marti-Selva

Abstract

The aim of this article is to analyse the efficiency of eurobond issuers within the primary market, from 1995 to 2000. The study includes a reference to theoretical discussion and to the methodology used; detailed explanation of the variables considered which, in order to supplement those strictly financial, include others such as spread from Interest Rate Risk (IRR) and respective swap; rating, duration and size; and macroeconomic fundamentals of the issuer country. Results and conclusions obtained from the static and dynamic efficiency analyses are then illustrated and discussed.

Suggested Citation

  • Maria Bonilla-Musoles & Leandro Garcia-Menendez & Ma Luisa Marti-Selva, 2007. "Efficiency in the eurobond market: application of nonparametric techniques," Applied Financial Economics, Taylor & Francis Journals, vol. 17(6), pages 431-444.
    • Handle: RePEc:taf:apfiec:v:17:y:2007:i:6:p:431-444
    DOI: 10.1080/09603100600706774
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    References listed on IDEAS

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