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Sobre la relación entre los mercados bursátiles internacionales y la bolsa de Madrid

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  • Peña, Juan Ignacio

Abstract

Este trabajo investiga la influencia de los cambios de precios diarios de los principales mercados bursátiles, sobre la bolsa de Madrid, a partir de la implantación en la misma del Mercado continuo. Se emplea un modelo VAR con los cinco principales mercados (New York, Tokio, Londres, Frankfurt y París) y Madrid, cada uno de ellos representado por índice general. El modelo VAR permite reflejar las relaciones dinámicas entre las series y en particular las respuestas de unos mercados a cambios en otros. Las innovaciones en New York, que actúa como mercado líder, se transmiten rápidamente a los otros mercados. En todos los casos la mayor parte de las influencias se manifiestan en períodos de uno o dos días a lo sumo, lo cual es consistente con la noción de mercados informacionalmente eficientes. Los resultados sugieren que la puesta en marcha del Mercado continuo ha aumentado la relación contemporánea entre Madrid y New York, aunque persiste el efecto retardado.

Suggested Citation

  • Peña, Juan Ignacio, 1991. "Sobre la relación entre los mercados bursátiles internacionales y la bolsa de Madrid," DE - Documentos de Trabajo. Economía. DE 3007, Universidad Carlos III de Madrid. Departamento de Economía.
    • Handle: RePEc:cte:derepe:3007
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    References listed on IDEAS

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    1. French, Kenneth R. & Poterba, James M., 1991. "Were Japanese stock prices too high?," Journal of Financial Economics, Elsevier, vol. 29(2), pages 337-363, October.
    2. Becker, Kent G & Finnerty, Joseph E & Gupta, Manoj, 1990. "The Intertemporal Relation between the U.S. and Japanese Stock Markets," Journal of Finance, American Finance Association, vol. 45(4), pages 1297-1306, September.
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    Cited by:

    1. J. Ignacio Peña, 1992. "On meteor showers in stock markets: New York vs Madrid," Investigaciones Economicas, Fundación SEPI, vol. 16(2), pages 225-234, May.

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