Juncal Cunado () (School of Economics and Business Administration, University of Navarra) Javier Gómez Biscarri () (School of Economics and Business Administration, University of Navarra) Fernando Pérez de Gracia () (School of Economics and Business Administration, University of Navarra)
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In this paper we review the factors that may lead to structural changes in stock market volatility and present an analysis that assesses whether Spanish stock market volatility has changed significantly over the period 1941-2001. This period corresponds to the years of more profound development of both the financial and the productive sides of the economy in this country. We use alternative methodologies of endogenous breakpoint detection that estimate the dates at which the behavior of stock market volatility changed. The analysis of the Spanish stock market suggests that volatility has behaved in a different manner over the period 1941-2001: From 1972 to 2001, the years of more intense development of the stock market, the Spanish stock market has been characterized by a higher level of volatility and a lower persistence. This effect is partly attributable to the increased growth of trading volume brought about by the economic development process
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Paper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number
06/03.
Length: 48 pages pages Date of creation: Apr 2003 Date of revision: Publication status: Published, Journal of Banking and Finance, 2004, vol. 28(7): pp. 1745-1773 Handle: RePEc:una:unccee:wp0603
Find related papers by JEL classification: C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions C59 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Other 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.:
Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992.
"Stock Prices and Volume,"
Review of Financial Studies,
Oxford University Press for Society for Financial Studies, vol. 5(2), pages 199-242.
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