Revisiting the European sovereign bonds with a permutation-information-theory approach
Department of Business, Universitat Rovira i Virgili, Av.
Universitat 1, 43204
2 Centro de Investigaciones Ópticas (CONICET La Plata - CIC), C.C. 3, 1897 Gonnet, Argentina
3 Departamento de Ciencias Básicas, Facultad de Ingeniería, Universidad Nacional de La Plata (UNLP), 1900 La Plata, Argentina
4 Consejo Nacional de Investigaciones Científicas y Técnicas (CONICET), C1033AA5, Ciudad Autónoma de Buenos Aires, Argentina
5 Universidad Nacional del Sur, 8000 Bahía Blanca, Argentina
6 Laboratorio de Sistemas Complejos, Facultad de Ingeniería, Universidad de Buenos Aires. 1063 Av.Paseo Colón 840, Ciudad Autónoma de Buenos Aires, Argentina
7 Instituto de Física, Universidade Federal de Alagoas, BR 104 Norte km 97, 57072-970 Maceió, Brazil
Received: 9 July 2013
Received in final form: 17 October 2013
Published online: 16 December 2013
In this paper we study the evolution of the informational efficiency in its weak form for seventeen European sovereign bonds time series. We aim to assess the impact of two specific economic situations in the hypothetical random behavior of these time series: the establishment of a common currency and a wide and deep financial crisis. In order to evaluate the informational efficiency we use permutation quantifiers derived from information theory. Specifically, time series are ranked according to two metrics that measure the intrinsic structure of their correlations: permutation entropy and permutation statistical complexity. These measures provide the rectangular coordinates of the complexity-entropy causality plane; the planar location of the time series in this representation space reveals the degree of informational efficiency. According to our results, the currency union contributed to homogenize the stochastic characteristics of the time series and produced synchronization in the random behavior of them. Additionally, the 2008 financial crisis uncovered differences within the apparently homogeneous European sovereign markets and revealed country-specific characteristics that were partially hidden during the monetary union heyday.
Key words: Statistical and Nonlinear Physics
© EDP Sciences, Società Italiana di Fisica and Springer-Verlag, 2013