Dynamics of the Spanish Stock Market Through a Broadband View of the IBEX 35® index / Dinámica del mercado de capitales español a través de una visión amplia del índice IBEX 35®
POUCHKAREV, I () (Erasmus University Rotterdam, The Netherlands.) SPRONK, J. () (Erasmus University Rotterdam, The Netherlands) TRINIDAD SEGOVIA, J.E. () (Universidad de Almería, Spain.)
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We present an analysis of the performance of the Spanish Stock Market over the last six years, examining the most widely used index, i.e. the IBEX 35®. Our analysis is broader than conventional benchmark approaches because we study the properties of all feasible portfolios, i.e. portfolios composed given the same investment opportunity set and also given the same constraints as implied by the definition of the IBEX 35® index. We estimate the distribution of performance values of all feasible portfolios according to different performance measures and evaluate the position of the IBEX 35® with respect to this feasible set. As in existing approaches, our analysis describes the ‘average’ development of the market over time. Our analysis provides also an insight into the development of the dynamics of the market over time by following the dispersion of the performance distributions over time. Presentamos un análisis de rendimiento del Mercado de Capitales Español durante los últimos seis años a través del estudio de su índice más representativo, el IBEX 35®. Se trata de un análisis más amplio que las aproximaciones convencionales puesto que se estudian todas las carteras factibles, como por ejemplo todas las carteras construidas a partir de las mismas posibilidades de inversión en los activos que componen el índice y teniendo en cuenta todas las restricciones que implica la construcción del mismo. Se estima la distribución de los valores del rendimiento de estas carteras factibles de acuerdo con todas las diferentes medidas del rendimiento y se evalúa la posición del IBEX 35® con respecto a estos resultados. Al igual que en los trabajos existentes, nuestro análisis describe el comportamiento medio de los mercados a lo largo del tiempo. Igualmente, este análisis nos permite acercarnos a la dinámica del Mercado siguiendo la dispersión de las distribuciones del rendimiento a lo largo del tiempo.
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Find related papers by JEL classification: C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
Hallerbach, W.G.P.M. & Hundack, C. & Pouchkarev, I. & Spronk, J., 2002.
"A Broadband Vision of the DAX over Time,"
Research Paper
ERS-2002-87-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
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