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Empirical Insights on the Heterogeneity of the Spanish Stock Market/Un Análisis Empírico De La Heterogeneidad Del Mercado De Capitales Español

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  • POUCHKAREV, IGOR

    (Department of Finance. Faculty of Economics. Erasmus University Rotterdam POB 1738, NL-3000 DR Rotterdam, The Netherlands. Telf.:+31.10.408-1302. Fax: +31.10.408-9165.)

  • SPRONK, JAAP

    () (Department of Finance. Faculty of Economics. Erasmus University Rotterdam POB 1738, NL-3000 DR Rotterdam, The Netherlands)

  • TRINIDAD SEGOVIA, JUAN E.

    () (Departamento de Dirección de Empresas. Facultad de Ciencias Económicas y Empresariales. Universidad de Almería. Ctra. Sacramento s/n. La Cañada de San Urbano, 04120 Almería España.)

Abstract

We introduce the concept of cross-sectional heterogeneity (and homogeneity) of equity markets. From period to period, the stocks in a market may move more or less ‘in line’. When stock prices move perfectly in line, we use the term ‘homogeneous market’. When the stock price developments are not perfectly in line, we use the term ‘heterogeneous markets’ and we propose a measure for the degree of heterogeneity. This heterogeneity measure can be applies to all usual stock characteristics, such as stock returns and risks. We present empirical results on the development of the heterogeneity of the large cap segment of the Spanish stock market over time, thus providing some new insights. En este trabajo se introducen los conceptos de heterogeneidad y homogeneidad de los mercados de capitales. Partiendo de que periodo a periodo, las acciones se mueven en el mercado más o menos en línea, diremos que el mercado es homogéneo cuando los precios evolucionan perfectamente en línea y que es más o menos heterogéneo en caso contrario. Igualmente se propone una medida para determinar el grado de heterogeneidad que se podrá aplicar tanto al análisis del rendimiento como del riesgo. Por último se presenta una aplicación práctica para el mercado continuo español, concretamente para los activos que componen su índice de referencia.

Suggested Citation

  • Pouchkarev, Igor & Spronk, Jaap & Trinidad Segovia, Juan E., 2006. "Empirical Insights on the Heterogeneity of the Spanish Stock Market/Un Análisis Empírico De La Heterogeneidad Del Mercado De Capitales Español," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 24, pages 1091-1106, Diciembre.
  • Handle: RePEc:lrk:eeaart:24_3_17
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    References listed on IDEAS

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    More about this item

    Keywords

    Market Description; Benchmarking; Performance Evaluation/Descripción del Mercado; Rendimiento; Benchmarking.;

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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