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

Author

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  • Lucy Amigo Dobaño
  • Francisco Rodríguez de Prado

Abstract

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.

Suggested Citation

  • Lucy Amigo Dobaño & Francisco Rodríguez de Prado, 2003. "Alteraciones en el comportamiento bursátil de las acciones de empresas tecnológicas inducidas por el vencimiento de derivados," Working Papers 0308, Universidade de Vigo, Departamento de Economía Aplicada.
  • Handle: RePEc:vig:wpaper:0308
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    References listed on IDEAS

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    More about this item

    Keywords

    Mercado Bursátil; Valores Tecnológicos; Vencimiento; derivados.;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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