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The New Market effect on return and volatility of Spanish sector indexes

Lafuente Luengo, Juan Ángel and Ruiz Andújar, Jesús (2002) The New Market effect on return and volatility of Spanish sector indexes. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 0213, 2002, ]

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Abstract

Desde abril del 2000 el índice del llamado Nuevo Mercado empezó a contabilizarse en la Bolsa española
como un indicador relevante del comportamiento de las empresas tecnológicas en la economía española.
Este trabajo proporciona evidencia empírica sobre las relaciones entre el rendimiento y la volatilidad de
los índices bursátiles sectoriales españoles y la volatilidad del índice bursátil del Nuevo Mercado.
Utilizando la metodología GARCH, los resultados empíricos revelan un impacto significativo importante
sobre la volatilidad de los índices de los sectores financiero e industrial, es decir, la alta volatilidad del
Nuevo Mercado tiende a incrementar la volatilidad en los otros sectores. Por otro lado, sólo se detecta
un efecto significativo sobre el rendimiento del sector industrial, sugiriendo que sólo este sector precisa
de una prima de riesgo cuando los shocks en el sector tecnológico incrementan el riesgo de todo el
mercado.

ABSTRACT:
Recently (April 2000), the New Market index began to be computed in the Spanish Stock Exchange as
a relevant indicator of the new technological firms’ behavior in the Spanish economy. This paper
provides empirical evidence about the relationships between the return and volatility of Spanish sector
indexes and the New Market index volatility. Using GARCH methodology, empirical results reveal a
positive significant impact on the financial, industrial and utilities sector volatility, that is, high volatility
in New Market tend to increase volatility in the other sectors. On the other hand, only statistical effect
is detected on return of industrial sector, suggesting that only this sector require a risk premium when
shocks in the technological sector increase the global market risk.


Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Nuevo Mercado, Bolsa española, Comportamiento de las empresas tecnológicas en la economía española, Rendimiento y la volatilidad de los índices bursátiles sectoriales españoles, Metodología GARCH
Subjects:Social sciences > Economics > Stock exchanges
Series Name:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2002
Number:0213
ID Code:7670
References:

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Deposited On:10 Mar 2008
Last Modified:06 Feb 2014 07:55

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