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Asimetrías en volatilidad, beta y contagios entre las empresas grandes y pequeñas cotizadas en la bolsa española

  • Helena Chuliá

    (Universitat Oberta de Catalunya)

  • Hipòlit Torró

    (Universidad de Valencia)

El presente trabajo analiza la transmisión de volatilidad entre grandes y pequeñas empresas en el mercado de valores español. Para ello, se utiliza un modelo CAPM condicional GARCH-M multivariante asimétrico que, a su vez, permite contrastar la hipótesis del efecto feedback en la volatilidad. Los resultados empíricos muestran que la transmisión de volatilidad entre ambos tipos de empresas se produce después de las noticias negativas y que la hipótesis del efecto feedback puede explicar el comportamiento asimétrico de la volatilidad. Adicionalmente, se obtiene que, para evitar errores de especificación en la estimación del coeficiente beta, es necesario utilizar un modelo condicional. Estos resultados tienen un papel relevante en la valoración de activos, la gestión de carteras y el diseño de estrategias dinámicas de cobertura.

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Article provided by Fundación SEPI in its journal Investigaciones Económicas.

Volume (Year): 31 (2007)
Issue (Month): 3 (September)
Pages: 445-474

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Handle: RePEc:iec:inveco:v:31:y:2007:i:2:p:445-474
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