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Structural Changes in Volatility and Stock Market Development: Evidence for Spain

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  • 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)

Abstract

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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Bibliographic Info

Paper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number 06/03.

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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

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Web page: http://www.unav.es/facultad/econom

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Cited by:
  1. Miralles Marcelo, Jose Luis & Quiros, Jose Luis Miralles & Quiros, Maria del Mar Miralles, 2008. "Asymmetric variance and spillover effects: Regime shifts in the Spanish stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 18(1), pages 1-15, February.
  2. Juncal Cunado & Javier Gómez Biscarri & Fernando Pérez de Gracia, 2003. "Structural Changes in Volatility and Stock Market Development: Evidence for Spain," Faculty Working Papers, School of Economics and Business Administration, University of Navarra 06/03, School of Economics and Business Administration, University of Navarra.
  3. F. Pérez de Gracia & J. Cuñado; J. Gómez, 2004. "Financial Liberalization and Emerging Stock Market Volatility," Computing in Economics and Finance 2004, Society for Computational Economics 124, Society for Computational Economics.

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