20 research outputs found
Estructura de la bolsa española e introducción del mercado de activos derivados sobre el IBEX-35
[email protected] [email protected] controversia acerca de si la implantación y negociación de activos derivados afecta a la estabilidad de
los respectivos mercados de contado perdura desde hace más de dos décadas. En este trabajo abordamos la
problemática anterior desde una nueva perspectiva. Concretamente, analizamos el impacto que sobre la estructura
del mercado bursátil ha podido tener la introducción de los mercados de activos derivados sobre el
IBEX-35. Para ello, definimos e identificamos la estructura del mercado bursátil para el periodo de estudio, y,
a continuación, analizamos el efecto que sobre la misma ha tenido la aparición de los nuevos mercados de derivados.
Nuestros resultados son consistentes con los de otros autores, ya que si bien no se ha producido un
cambio generalizado y substancial en la estructura del mercado bursátil, la introducción de los nuevos mercados
sí parece que ha afectado a un número reducido de empresas incluidas en el IBEX-35.The debate about whether derivatives introduction and trading affect the underlying market stability
persists for more than two decades. In this paper we deal with this question from a new perspective.
Concretely, we investigate the impact on the underlying stock market structure of the IBEX-35 option and
future listing. In this way, we define and identify the Spanish stock market structure for the whole period of
study; and, afterwards, we analyse the effects that the new derivatives markets introduction has had on the
stock market structure. Our results agree with others authors conclusions: though no generalised and essential
change on the stock market structure have taken place, the new derivatives markets introduction seems to have
affected a short number of firms included in the IBEX-35 index
El componente de selección adversa de la horquilla de precios cotizada : una revisión de los modelos de estimación
[email protected] [email protected] de las principales preocupaciones en el área de la microestructura del mercado ha sido la estimación
de los componentes no observables de la horquilla de precios a partir de las series de datos que proporcionan
los mercados financieros, despertando quizá un mayor interés el de selección adversa por la implicaciones que
supone la existencia del mismo. Esto ha provocado el desarrollo de numerosos modelos empíricos que, basándose
en las propiedades estadísticas de las series de precios, proporcionan dichas estimaciones. La mayor disponibilidad
de datos existentes en los mercados ha permitido el desarrollo en los últimos años de modelos basados
en técnicas estadísticas más complejas como son el método generalizado de momentos o la metodología
VAR y cuya base de partida es la dinámica de la formación del precio, y, en concreto, cómo la información
privada de las transacciones se recoge en los nuevos precios cotizados. El objetivo de este trabajo es analizar
este último grupo de trabajos, es decir, aquellos modelos de estimación de los componentes de la horquilla basados
en la dinámica de la formación de precios que, además de permitir la estimación del componente de selección
adversa en series temporales, suponen una herramienta fundamental para analizar el proceso de incorporación
de la información a los precios cotizados en los distintos mercados.One of the main interests of market microstructure is the estimation of the bid–ask spread components
from financial data, specially the adverse selection component given the implications of its own existence. As a result, several empirical models based on price time–series statistical properties have been developed in order
to estimate them. Recent greater financial data availability has allowed the development of models that focus
on price discovery and use more statistical complex methodologies like GMM or VAR. This paper analyses this
set of models that allows the estimation of the bid–ask spread components from price dynamics, specifically,
the estimation of the adverse selection component in time series. Actually, this sort of models are a powerful
tool to investigate how information is incorporated into quotes
Arbitrage opportunities and event impacts on Spanish rights issues
In equity offerings in which pre-emptive subscription rights are issued, there are two ways of acquiring the company's shares: either by buying them directly on the market, or by subscribing to the new shares using the subscription rights. This could lead to the existence of arbitrage opportunities. In addition, the announcement of these processes incorporates very relevant information to the market, which could generate abnormal returns for the shares. This paper analyses both hypotheses simultaneously on the same sample and concludes that there are indeed arbitrage opportunities and also abnormal returns can be detected. Furthermore, it is also concluded that these effects are especially significant in companies with low liquidity or for which short positions in the market are not available
Manual práctico sobre estudios de eventos
Documento de Trabajo 12/09 perteneciente a la colección de documentos de trabajo "Nuevas Tendencias en Dirección de Empresas", dentro del Máster en Investigación en Economía y Empresa.[ES]El estudio de las características de los mercados de valores ha tenido en los
últimos años un compañero imprescindible en la metodología de eventos.
La necesidad de medir la reacción del mercado ante distintos
acontecimientos económicos y financieros genera la necesidad de contar
con herramientas analíticas suficientemente rigurosas para poder defender
la validez de los resultados. Por ello es conveniente tener presente la
estructura básica de la metodología y sus requerimientos. Existen algunos
trabajos internacionales que en ocasiones pueden resultar demasiado
genéricos y en otras innecesariamente complejos. Por ello se plantea
realizar una revisión teórica de los estudios de eventos, sus supuestos de
partida, las técnicas o herramientas econométricas empleadas en cada caso,
los problemas a los que puede enfrentarse un investigador novel, y las
posibles soluciones, pero además hacemos una especial mención al
desarrollo de estos estudios en el contexto español.[EN]The study of the characteristics of stock markets has had on recent years an indispensable companion in the methodology of events.
The need to measure the market reaction to different economic and financial developments generates the need sufficiently rigorous analytical tools to defend the validity of the results. It should therefore bear in mind the
basic structure of the methodology and requirements. There are some international work that can sometimes be too generic and other unnecessarily complex. Therefore arises make a theoretical review of event studies, their assumptions starting econometric techniques or tools used in each case, the problems that can confront a new research, and possible solutions, but also make a special mention development of these studies in the Spanish context
Spanish stock market structure and the introduction of the derivate securities on the IBEX-35 index
The debate about whether derivatives introduction and trading affect the underlying market stability persists for more than two decades. In this paper we deal with this question from a new perspective. Concretely, we investigate the impact on the underlying stock market structure of the IBEX-35 option and future listing. In this way, we define and identify the Spanish stock market structure for the whole period of study; and, afterwards, we analyse the effects that the new derivatives markets introduction has had on the stock market structure. Our results agree with others authors conclusions: though no generalised and essential change on the stock market structure have taken place, the new derivatives markets introduction seems to have affected a short number of firms included in the IBEX-35 index
Spanish stock market structure and the introduction of the derivate securities on the IBEX-35 index.
The debate about whether derivatives introduction and trading affect the underlying market stability persists for more than two decades. In this paper we deal with this question from a new perspective. Concretely, we investigate the impact on the underlying stock market structure of the IBEX-35 option and future listing. In this way, we define and identify the Spanish stock market structure for the whole period of study; and, afterwards, we analyse the effects that the new derivatives markets introduction has had on the stock market structure. Our results agree with others authors conclusions: though no generalised and essential change on the stock market structure have taken place, the new derivatives markets introduction seems to have affected a short number of firms included in the IBEX-35 index.Stock market structure, derivatives markets introduction, statistical distance, cluster analysis
The aftermarket performance of Spanish REITs
Since 2013, when the market for REITs started in Spain, the number of these investment vehicles has grown steadily. At the end of 2019, Spanish REITs ranked third in Europe in terms of market capitalisation, and first in terms of the number of REITs. This research investigates the abnormal performance of REITs in the Spanish market for 6-, 12- and 24-month post-admission windows during the period from November 2013 to January 2020. We obtain evidence that issuers experience economically and statistically significant negative abnormal returns during the two years after going public. These results are robust to the different metrics, estimations and tests used. The differentiating characteristics of the market analysed (mainly the fact that the flotations were not carried out through an Initial Public Offering, unlike most previous studies, but through a direct listing procedure) are particularly relevant to determine the level of aftermarket performance
Problemas en la estimación y en el contraste de los rendimientos anormales a largo plazo : Estado de la cuestión
[email protected] [email protected] paradigma de la eficiencia ha sido puesto en entredicho en las últimas décadas como consecuencia de
la obtención de rendimientos anormales, estadística y económicamente significativos, durante amplios periodos
de tiempo tras algunas importantes decisiones empresariales. No obstante, los problemas conceptuales y
estadísticos que presenta la medición y contrastación de los rendimientos anormales a largo plazo ha supuesto
que la evidencia obtenida pase a calificarse como anomalía. Dada la escasa proliferación de este tipo de estudios
en nuestro mercado y el desafortunado desarrollo de algunos de los existentes, en este trabajo presentamos
estos problemas y algunas de las soluciones que la literatura propone. Con ello pretendemos facilitar a
los investigadores las herramientas necesarias para abordar con éxito este sugerente campo.Market efficiency has been questioned in the last years as several papers found abnormal returns
economically and statistically significant over long horizons after main firm decisions. Nevertheless, the
conceptual and statistical problems related with the estimation and test of long-term returns have supposed
that the evidence obtained pass to be qualified as anomaly. Given the scarce proliferation of this sort of studies
in our market and the unfortunate development of some of them, we present these problems and some of the
solutions that the literature proposes. In this way, we seek to facilitate to the investigators the necessary tools
to approach with success in this suggestive topic