This paper uses sovereign CDS spread changes and their volatilities as a proxy for the
informational efficiency of the sovereign markets and persistency of country risks.
Specifically, we apply semi-parametric and parametric methods to the sovereign CDSs of 10
eurozone countries to test the evidence of long memory behavior during the financial crisis.
Our analysis reveals that there is no evidence of long memory for the spread changes, which
indicates that the price discovery process functions efficiently for sovereign CDS markets …