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The impact of international factors on Spanish company returns: a quantile regression approach

Caridad Sevillano Mª () and Francisco Jareño ()
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Caridad Sevillano Mª: University of Castilla-La Mancha

Risk Management, 2018, vol. 20, issue 1, 51-76

Abstract: Abstract This research analyzes the impact that international factors have on the yields of the companies’ returns listed in the Spanish index, IBEX-35. Specifically, the impact that some international factors, such as the stock market return, interest rate, oil price and CFSI and VIX indices, have on the Spanish stock market is analyzed using a quantile regression approach. Thus, this methodology allows much more efficient estimates and, hence, much more reliable results to be obtained. In addition to the methodological contribution, this study notes the undeniable impact of globalization on the stock markets because the international (US) factors affect Spanish companies.

Keywords: Stock market; Business returns; International factors (search for similar items in EconPapers)
JEL-codes: G11 G15 O51 (search for similar items in EconPapers)
Date: 2018
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