Juan Ángel Lafuente (Universidad Jaume I, Unidad Predepartamental de Finanzas y Contabilidad) Jesús Ruiz (Instituto Complutense de Análisis Económico (ICAE), Universidad Complutense)
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.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Did you know? You can import bibliographic info in various formats into you bibliographic tool, or just into your word processor. See under "publisher info" on each abstract page.