Global and local information efficiency: An examination of samuelson's dictum

IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Yaqing Xiao , Hongjun Yan , Jinfan Zhang
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引用次数: 0

Abstract

The global version of Samuelson's Dictum is the conjecture that there is more informational inefficiency for global information than for country-specific information. Consistent with this conjecture, we find that sovereign CDS spreads can predict future sovereign bond yields of their underlying countries and this predictive power arises almost entirely from CDS spread's global—rather than country-specific—component. Noting the striking similarities between the evidence in stock and sovereign bond markets, we examine the underlying mechanism for the results in both markets in parallel and find further similarities across these two markets. In both cases, information appears to flow in one direction: from the sovereign CDS market to stock and sovereign bond markets and not the other way around. Information transmission occurs mostly during the days surrounding announcements of credit-rating or outlook changes, especially downgrades. These results are broadly consistent with a setup in which information acquisition and processing is costly.

全球和地方信息效率:对萨缪尔森箴言的审视
萨缪尔森箴言的全球版本是这样一种猜想,即全球信息比特定国家信息的信息效率更低。与这一猜想相一致,我们发现主权 CDS 息差可以预测其相关国家的未来主权债券收益率,而这种预测能力几乎完全来自 CDS 息差的全球部分,而非国别部分。我们注意到股票市场和主权债券市场的证据有惊人的相似之处,因此我们同时研究了这两个市场结果的内在机制,并发现这两个市场有更多相似之处。在这两种情况下,信息似乎都是单向流动的:从主权 CDS 市场流向股票和主权债券市场,而不是相反。信息传递主要发生在宣布信用评级或前景变化(尤其是降级)的前几天。这些结果与信息获取和处理成本高昂的情况基本一致。
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来源期刊
CiteScore
3.40
自引率
3.80%
发文量
59
期刊介绍: The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.
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