Revista de Economía Financiera. Número 3 – 2º Cuatrimestre 2004
Titulares de los artículos
This paper examines the effect of stock splits on return volatility at the Spanish stock market. We find a significant increase in volatility after the split. The measurement errors created by bid-ask spread and price discreteness do not explain the large increase in variance totally. Our results show that the increase in volatility is positively related to the change in total trading activity, and we do not detect significant differences in the analysis by different-size trades. Finally, we find stock splits do no affect on first-order autocorrelations of daily returns.
David Abad Díaz y Mikel Tapia
Impacto de cambios en los ticks: La introducción del euro en el mercado bursátil español
This study analyses the repercussions of the existence of minimum price variations (ticks) to different market variables. Specifically, we focus on the behavior of bid-ask spread, market depth, trading activity, volatility and investor order submission strategies. We use the change which occurred to minimum price variations as a consequence of the introduction of euro pricing on January 4th 1999. This event allows us to obtain a stock sample with a reduced tick size (MRED) and another whose tick increased slightly (AUM). The methodology used here is descriptive and focuses on the comparison of variable behavior under each minimum price variation. In general, the evidence obtained in this study shows the important role of tick size as a cost of acquiring priority in the book and as the lowest limit of the bid-ask spread that can be quoted. The results obtained help us to a better understanding of the trading process under discrete pricing and, although they do not answer the important question about the existence of an optimal tick size, they indicate several advantages and disadvantages of different tick sizes.
Francis Benito, Ángel León y Juan M. Nave
Modelización de la volatilidad del tipo de interés a corto plazo
This paper compares the ability of alternative one factor models to capture the volatility of short interest rates in the Spanish market. Several conditional heteroscedasticity models are estimated. Specifically, they are divided into three groups: (1) Levels models, (2) GARCH models and (3) Mixed models. Models under the last group combine the effects in both (1) and (2). The empirical results show that Mixed ones overcome the others. This fact confirms the international evidence. Finally, there is no significance for asymmetric behavior in the conditional volatility.
Cristobal González y Mª Paz Jordá
Valoración de BTH a tipo fijo con diferentes metodologías
The interest-driven prepayment risk in the so-called Bonos de Titulización Hipotecaria (BTH or Spanish mortgage-backed securities) is usually obviated in their valuation by the Spanish firms. These firms generally work as if the securities’ cash flows were independent of the interest rates. In this paper a fixed rate BTH is valued by using two different approaches with the purpose of checking whether the obtained results with the method that keeps in mind the dependence of the cash flows to the interest rates justifies the biggest inherent difficulties to its employment. The results show that the obtained differences between static and dynamic approaches can be of certain importance, although they are more dependent on the hypotheses assumed in the concrete simulation procedure used in the dynamic approach than the fact of working with one approach or another.