||SPANISH JOURNAL OF
FINANCE AND ACCOUNTING
Document in PDF: [Available Access]
El riesgo de interés en el mercado español de acciones: Una aproximación sectorial.
By: Javier Santomá Juncadella, Altina Sebastián González y Román Ferrer Lapeña
The objective of this article is to analyze the effect of non-anticipated
changes in interest rates on sector stock indexes for the period spanning
from May 1993 to December 1996. To evaluate this effect we have used
ernpirical duration understood as the sector stock index elasticity to
changes in interest rates.
This article additionally analyzes the structural stability of the computed
duration and the relationship between duration and other risk measures
such as the Beta Capm, and the volatility of the indexes.
The results of this study show the negative relationship between unexpected
changes between interest rates and sector indexes. The results also
show empirical duration far below the expected duration values proposed
by theoretical models, but consistent with other empirical studies.
Finally, the results show a greater explanatoiy power for the long-term
interest rate series versus the short term interest rate series.
Duration - Interest rates - Sector index - Risk measures.
© 2006 Spanish Journal of Finance and Accounting (REFC)