Las compañias constructoras del IBEX 35; Las compañias de energia del IBEX 35; Las compañias de servicios financieros del IBEX 35; Las compañias de servicios de mercado del IBEX 35; Analisis de empresas que cotizan en Latibex

Prado, Maria Eugenia Escudero; Mengotti, Carlos Estevez; Barbeito, Josefina Martínez; Pateiro-Rodríguez, Carlos; Seijo, Francisco

doi:10.4272/84-9745-044-2.ch2

Mercado De Capitales. Estudios Sobre Bolsa, Fondos De Inversion Y Politicamonetaria Del BCE

DOI: 10.4272/84-9745-044-2.ch2

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Las compañias constructoras del IBEX 35; Las compañias de energia del IBEX 35; Las compañias de servicios financieros del IBEX 35; Las compañias de servicios de mercado del IBEX 35; Analisis de empresas que cotizan en Latibex

Maria Eugenia Escudero Prado¹,

Carlos Estevez Mengotti²,

Josefina Martínez Barbeito³

et al.

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On Detection of Volatility Spillovers in Simultaneously Open Stock Markets

Kohonen

2012

SSRN Journal

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Empirical research confirms the existence of volatility spillovers across national stock markets. However, the models in use are mostly statistical ones. Much less is known about the actual transmission mechanisms; theoretical literature is scarce, and so is empirical work trying to estimate specific theoretical models. Some economic theory founded tests for such spillovers have been developed for non-overlapping markets; this institutional set up provides a way around the problems of estimating a system of simultaneous equations. However, volatility spillovers across overlapping markets might be as important a phenomenon as across non-overlapping markets. Building on recent advances in econometrics of identifying structural vector autoregressive models, this paper proposes a way to estimate an existing signal-extraction model that explains volatility spillovers across simultaneously open stock markets. Furthermore, a new empirical test for detection of such spillovers is derived. As an empirical application, the theoretical model is fitted to daily data of eurozone stock markets in years 2010--2011. Evidence of volatility spillovers across the countries is found.JEL Classification: C12, C30, D82, G14, G15

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On Detection of Volatility Spillovers in Simultaneously Open Stock Markets

Kohonen

2012

SSRN Journal

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International Volatility Arbitrage

Tosi

2018

SSRN Journal

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CEO succession and proprietary directors: evidence from Spanish listed firms.

Stein¹,

Gallego²,

Cuadrado³

2013

COC

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This study advances research on CEO succession and board monitoring of senior executives by examining how proprietary directors can affect the probability of CEO dismissal. Drawing on our newly developed database covering all CEO successions occurring in all Spanish listed firms during the period 2007–2010, we propose that proprietary directors may increase the board’s monitoring efforts over the chief executive, forcing him to resign in situations of poor performance. Hypotheses are tested longitudinally, using CEO succession data taken from 111 publicly-traded firms in the Spanish ‘mercado continuo’ over a four-year period

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Las compañias constructoras del IBEX 35; Las compañias de energia del IBEX 35; Las compañias de servicios financieros del IBEX 35; Las compañias de servicios de mercado del IBEX 35; Analisis de empresas que cotizan en Latibex

Cited by 3 publications

References 0 publications

On Detection of Volatility Spillovers in Simultaneously Open Stock Markets

On Detection of Volatility Spillovers in Simultaneously Open Stock Markets

International Volatility Arbitrage

CEO succession and proprietary directors: evidence from Spanish listed firms.

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