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Alteraciones en el comportamiento bursátil de las acciones de empresas tecnológicas inducidas por el vencimiento de derivados

  • Lucy Amigo Dobaño
  • Francisco Rodríguez de Prado
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    El estudio de la detección de comportamientos diferenciados en las cotizaciones de los activos subyacentes alrededor de la fecha de vencimiento de los contratos de derivados se justifica, en la literatura financiera, por la realización de operaciones de arbitraje y/o especulación. El objetivo de este trabajo es ofrecer evidencia empírica adicional sobre el impacto del efecto vencimiento de productos financieros derivados en el mercado bursátil español como factor justificativo de estas operaciones. En particular, se pretende identificar si en el Nuevo Mercado se producen estas fluctuaciones y aportar evidencia sobre su cuantía. Para ello, mediante la aplicación de la metodología ARCH a datos diarios, se modeliza conjuntamente la media y la volatilidad del rendimiento de los activos subyacentes del segmento tecnológico, incorporando la variable volumen de contratación como variable proxi de la llegada de nueva información al mercado. Los resultados obtenidos apuntan a un efecto parcial sobre el mercado spot, desempeñando la liquidez un importante papel en su justificación. La estrecha relación existente, a priori, entre todos los segmentos del mercado bursátil así como la pertenencia de las acciones del Nuevo Mercado sobre las que se negocian opciones al selectivo Ibex-35, nos llevaron a plantear un análisis de la influencia derivada del vencimiento sobre derivados del Ibex-35 que podría ser justificado no por operaciones de arbitraje, pero sí probablemente por operaciones especulativas.

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    Paper provided by Universidade de Vigo, Departamento de Economía Aplicada in its series Working Papers with number 0308.

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    Length: 29 pages
    Date of creation: Jun 2003
    Date of revision:
    Handle: RePEc:vig:wpaper:0308
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    1. Hsieh, David A, 1989. "Modeling Heteroscedasticity in Daily Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 307-17, July.
    2. Tauchen, George & Zhang, Harold & Liu, Ming, 1996. "Volume, volatility, and leverage: A dynamic analysis," Journal of Econometrics, Elsevier, vol. 74(1), pages 177-208, September.
    3. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
    4. N. Blasco & P. Corredor & R. Santamaria, 2002. "Is bad news cause of asymmetric volatility response? A note," Applied Economics, Taylor & Francis Journals, vol. 34(10), pages 1227-1231.
    5. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
    6. Grossman, Sanford J, 1988. "An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies," The Journal of Business, University of Chicago Press, vol. 61(3), pages 275-98, July.
    7. Pagan, Adrian R. & Schwert, G. William, 1990. "Alternative models for conditional stock volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 267-290.
    8. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
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