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

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dc.contributor.authorSarmiento Sabogal, Julio Alejandrospa
dc.contributor.authorCayón Fallon, Edgardospa
dc.contributor.authorCollazos, Maríaspa
dc.contributor.authorSandoval, Juan S.spa
dc.contributor.orcidSarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]
dc.contributor.orcidCayón Fallon, Edgardo [0000-0002-4113-5521]
dc.contributor.orcidSandoval, Juan S. [0000-0003-3773-3606]
dc.contributor.scopusSarmiento Sabogal, Julio Alejandro [57196465468]
dc.contributor.scopusCayón Fallon, Edgardo [56395390800]
dc.contributor.scopusCollazos, María [58189958800]
dc.contributor.scopusSandoval, Juan S. [57196467374]
dc.date.accessioned2023-06-21T22:23:08Z
dc.date.available2023-06-21T22:23:08Z
dc.date.issued2017-10
dc.description.abstractenglishPurpose 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.eng
dc.description.orcidhttps://orcid.org/0000-0001-5986-4813
dc.description.orcidhttps://orcid.org/0000-0002-4113-5521
dc.description.orcidhttps://orcid.org/0000-0003-3773-3606
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=57196465468
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=56395390800
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=58189958800
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=57196467374
dc.identifier.doihttps://doi.org/10.1016/j.ribaf.2017.04.047
dc.identifier.eissn1878-3384
dc.identifier.instnameinstname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.issn0275-5319
dc.identifier.reponamereponame:Biblioteca Digital – CESA
dc.identifier.repourlrepourl:https://repository.cesa.edu.co/
dc.identifier.urihttp://hdl.handle.net/10726/5108
dc.language.isoeng
dc.publisherElsevier Inc.
dc.relation.citationendpage555
dc.relation.citationstartpage547
dc.relation.citationvolume41
dc.relation.ispartofjournalResearch in International Business and Finance
dc.rights.accessrightsinfo:eu-repo/semantics/restrictedAccess
dc.rights.coarhttp://vocabularies.coar-repositories.org/access_rights/c_16ec/
dc.rights.localAcceso Restringido
dc.subject.proposalVenezuela
dc.subject.proposalSovereign bonds
dc.subject.proposalBlack markets exchange rate
dc.titlePositive asymmetric information in volatile environments : the black market dollar and sovereign bond yields in Venezuelaeng
dc.typearticle
dc.type.coarhttp://purl.org/coar/resource_type/c_2df8fbb1
dc.type.coarversionhttp://purl.org/coar/version/c_71e4c1898caa6e32
dc.type.driverinfo:eu-repo/semantics/article
dc.type.redcolhttp://purl.org/redcol/resource_type/ART
dc.type.versioninfo:eu-repo/semantics/acceptedVersion

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