Positive asymmetric information in volatile environments: The black market dollar and sovereign bond yields in Venezuela

Autor:	Julio Sarmiento, María Collazos, Edgardo Cayon, Juan S. Sandoval
Rok vydání:	2017
Předmět:	050208 finance Financial economics Bond 05 social sciences Maturity (finance) Information asymmetry Granger causality 0502 economics and business Liberian dollar Economics Business Management and Accounting (miscellaneous) Bond market Black market Arbitrage 050207 economics Finance
Zdroj:	Research in International Business and Finance. 41:547-555
ISSN:	0275-5319
DOI:	10.1016/j.ribaf.2017.04.047
Popis:	Purpose We test the informational efficiency of Venezuelan USD sovereign bond yields when the black market exchange-rate premium (BMERP) changes. Design We use a non-parametric, asymmetric, Granger causality test to test our hypothesis. Findings We find that the bond market with less than or equal to 5 years of maturity seems to be efficient when good news is released on the BMERP. However, this market is not informationally efficient, and when combined with unbiased bad news regarding the BMERP, arbitrage opportunities are created. Originality/value Capital controls that restrict free exchange-rate mechanisms create arbitrage opportunities with negative news as opposed to positive news.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::696c2a8660e2da3dc10d40d123eb1655 https://doi.org/10.1016/j.ribaf.2017.04.047 Zobrazit plný text záznamu Full Text from ScienceDirect