IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

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

Listed author(s):
  • 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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
File Function: Full text
Download Restriction: no

Article provided by Fundación SEPI in its journal Investigaciones Económicas.

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

in new window

Handle: RePEc:iec:inveco:v:31:y:2007:i:2:p:445-474
Contact details of provider: Postal:
Investigaciones Economicas Fundación SEPI Quintana, 2 (planta 3) 28008 Madrid Spain

Web page:

Order Information: Web: Email:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:iec:inveco:v:31:y:2007:i:2:p:445-474. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Isabel Sánchez-Seco)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.