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

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.

• Autores: Sarmiento Sabogal, Julio Alejandro; Cayón Fallon, Edgardo; Collazos, María; Sandoval, Juan S.
• Tipo de recurso: Article of investigation
• Fecha de publicación: 2017
• Institución: Colegio de Estudios Superiores de Administración
• Repositorio: Repositorio CESA
• Idioma: eng
• OAI Identifier: oai:repository.cesa.edu.co:10726/5108
• Acceso en línea: http://hdl.handle.net/10726/5108; https://doi.org/10.1016/j.ribaf.2017.04.047
• Palabra clave: Venezuela; Sovereign bonds; Black markets exchange rate
• License: Acceso Restringido