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Empirical Insights on the Heterogeneity of the Spanish Stock Market/Un Análisis Empírico De La Heterogeneidad Del Mercado De Capitales Español

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  • POUCHKAREV, IGOR

    (Department of Finance. Faculty of Economics. Erasmus University Rotterdam POB 1738, NL-3000 DR Rotterdam, The Netherlands. Telf.:+31.10.408-1302. Fax: +31.10.408-9165.)

  • SPRONK, JAAP

    ()
    (Department of Finance. Faculty of Economics. Erasmus University Rotterdam POB 1738, NL-3000 DR Rotterdam, The Netherlands)

  • TRINIDAD SEGOVIA, JUAN E.

    ()
    (Departamento de Dirección de Empresas. Facultad de Ciencias Económicas y Empresariales. Universidad de Almería. Ctra. Sacramento s/n. La Cañada de San Urbano, 04120 Almería España.)

Abstract

We introduce the concept of cross-sectional heterogeneity (and homogeneity) of equity markets. From period to period, the stocks in a market may move more or less ‘in line’. When stock prices move perfectly in line, we use the term ‘homogeneous market’. When the stock price developments are not perfectly in line, we use the term ‘heterogeneous markets’ and we propose a measure for the degree of heterogeneity. This heterogeneity measure can be applies to all usual stock characteristics, such as stock returns and risks. We present empirical results on the development of the heterogeneity of the large cap segment of the Spanish stock market over time, thus providing some new insights. En este trabajo se introducen los conceptos de heterogeneidad y homogeneidad de los mercados de capitales. Partiendo de que periodo a periodo, las acciones se mueven en el mercado más o menos en línea, diremos que el mercado es homogéneo cuando los precios evolucionan perfectamente en línea y que es más o menos heterogéneo en caso contrario. Igualmente se propone una medida para determinar el grado de heterogeneidad que se podrá aplicar tanto al análisis del rendimiento como del riesgo. Por último se presenta una aplicación práctica para el mercado continuo español, concretamente para los activos que componen su índice de referencia.

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Bibliographic Info

Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

Volume (Year): 24 (2006)
Issue (Month): (Diciembre)
Pages: 1091-1106

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Handle: RePEc:lrk:eeaart:24_3_17

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Related research

Keywords: Market Description; Benchmarking; Performance Evaluation/Descripción del Mercado; Rendimiento; Benchmarking.;

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  1. Geoffrey Hewings & Chokri Dridi & Joaquim Guilhoto, 2005. "Impacts of Reallocation of Resource Constraints on the Northeast Economy of Brazil," ERSA conference papers ersa05p14, European Regional Science Association.
  2. M. Alejandro Cardenete & Ferran Sancho, 2002. "An Applied General Equilibrium Model to Assess the Impact of National Tax Changes on a Regional Economy," Economic Working Papers at Centro de Estudios Andaluces E2002/13, Centro de Estudios Andaluces.
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  6. Dawkins, Christina & Srinivasan, T.N. & Whalley, John, 2001. "Calibration," Handbook of Econometrics, Elsevier, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 58, pages 3653-3703 Elsevier.
  7. Berbel, J. & Gomez-Limon, J. A., 2000. "The impact of water-pricing policy in Spain: an analysis of three irrigated areas," Agricultural Water Management, Elsevier, Elsevier, vol. 43(2), pages 219-238, March.
  8. Doppler, Werner & Salman, Amer Z. & Al-Karablieh, Emad K. & Wolff, Heinz-Peter, 2002. "The impact of water price strategies on the allocation of irrigation water: the case of the Jordan Valley," Agricultural Water Management, Elsevier, Elsevier, vol. 55(3), pages 171-182, June.
  9. Dixon, Peter B., 1990. "A general equilibrium approach to public utility pricing: determining prices for a water authority," Journal of Policy Modeling, Elsevier, Elsevier, vol. 12(4), pages 745-767.
  10. Seung, Chang K. & Englin, Jeffrey E. & Harris, Thomas R., 1997. "Application of Computable General Equilibrium Model to Derive Impacts of Surface Water Reallocation Policy," 1997 Annual Meeting, July 13-16, 1997, Reno\Sparks, Nevada, Western Agricultural Economics Association 35841, Western Agricultural Economics Association.
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