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On the behavior of the Spanish capital market


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Title: On the behavior of the Spanish capital market
Authors : González Urteaga, Ana
Nieto Doménech, Belén Adoración
Rubio Irigoyen, Gonzalo
Keywords: Bolsa - España.Bonos.Bonds.Stock exchanges - Spain.
Publisher: Comisión Nacional del Mercado de Valores (CNMV)
Citation: González-Urteaga, A., Nieto, B. & Rubio, G. (2022). On the behavior of the Spanish capital market. Documentos de Trabajo (CNMV), n. 80 (sep.).
Abstract: This paper analyzes the performance of various asset classes traded in the Spanish Capital Market. We compare the relative behavior of stock and corporate bond market indices, risk factors, and option-based expected market risk premia of the IBEX-35 at alternative horizons. We finally discuss the spillover volatility connections between the stock market portfolio, the general index of corporate bonds, the long-term government bond, and risk-neutral volatility and skewness. The stock market index is a net sender of volatility to the rest of asset classes, especially during the Great Recession and the Eurozone debt crises. The government bond is a net sender of volatility to corporate bonds and risk-neutral volatility and skewness. In fact, during stressed periods, the returns of the government bond have a positive exposure to the market stock return, which suggests that the Spanish long-term bond is a risky asset rather than being a hedging asset. This fact, together with the strong counter-cyclical behavior of the expected market risk premium at any horizon, suggests that the Spanish corporations are badly affected during recessions with a negative impact on investment and output growth. It is not surprising how rapidly the Spanish economy deteriorates at the beginning of recessions. Note that the ultimate objective is to learn about the Spanish real economy through the lens of financial markets
Description: Este documento de trabajo se encuentra disponible en la siguiente URL: https://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT_80_spanish_capital_marketen.pdf
URI: http://hdl.handle.net/10637/14466
Rights : http://creativecommons.org/licenses/by/4.0/deed.es
ISSN: 2172-6337
1988-2025 (Electrónico)
Issue Date: 23-Sep-2022
Center : Universidad Cardenal Herrera-CEU
Appears in Collections:Dpto. Economía y Empresa





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