‘Integration and efficiency of fixed-income markets in European Union countries’

Antonio Díaz Pérez, Eliseo Navarro Arribas, Gloria Isabel Pérez Sainz de Rozas, María Merino Maestre, Mª Araceli Garín Martín, Mª Teresa García Muniesa, Mª Victoria Esteban González, Miguel Angel Martínez Sedano, Raquel Bujalance Rodríguez, Susan Orbe Mandaluniz.

The fixed-income market is of considerable interest as the object of financial analysis and for its predictive power vis à vis the business cycle. We will compare this quality with results for the equities market.Our proposals are flexibly framed so the analysis can be carried out without imposing non realistic conditions on variables (stationariness, normality) or models (linearity).

This translates as the use of non parametric statistical and econometric techniques. Also, the range of European fixed-income assets are dealt with together to broach the question of portfolio selection in a European context, using stochastic programming techniques to overcome the problems posed by a dynamic, uncertain environment.

Our analysis will be spread over various stages depending on the data input. The first will focus on Spanish debt, then we will pan out to current EU data and, finally, to data from the enlargement countries, for the purposes of comparative analysis and the drawing of our main conclusions.