The informational efficiency of the Norwegian corporate bond market : an empirical analysis of predictability in cross-market returns between stocks and corporate bonds in Norway
MetadataVis full innførsel
- Master Thesis 
This paper examines the relative informational efficiency of the Norwegian corporate bond market. To overcome problems with infrequent trading, we supplement transaction data for bonds and stocks with bond price estimates, and employ a VAR model to determine predictability in cross-market returns. In periods where news about common factors are more prominent, we find evidence of stocks leading bonds. In contrast, during periods of increased investor awareness, firm-specific news typically dominates, and related bonds and stocks exhibit equal informational efficiency. These findings suggest that the type of new information revealed might determine whether bondholders choose to enter the market.