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Structural changes in volatility and stock market development: Evidence for Spain

Listed author(s):
  • Cunado Eizaguirre, Juncal
  • Biscarri, Javier Gomez
  • Hidalgo, Fernando Perez de Gracia

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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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 28 (2004)
Issue (Month): 7 (July)
Pages: 1745-1773

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Handle: RePEc:eee:jbfina:v:28:y:2004:i:7:p:1745-1773
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