Original paper
Predictability dynamics of emerging sovereign CDS markets
Abstract
We compare the time-varying weak-form efficiency of Credit Default Swap (CDS) markets of 15 emerging countries by using permutation entropy approach. We find that CDS markets have different degrees of time-varying efficiency. Using several robustness test, we find that Thailand, China, South Korea and Malaysia have the most efficient CDS markets while South Africa, Colombia and Turkey are the least efficient. Our results show that CDS markets...
Paper Details
Title
Predictability dynamics of emerging sovereign CDS markets
Published Date
Dec 1, 2017
Journal
Volume
161
Pages
5 - 9
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History