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The Impact of Relevant International Factors on the Returns of IBEX 35 Companies, 2000-2016

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  • M. Caridad SEVILLANO
  • Francisco JAREÑO

Abstract

This paper focuses on analyzing the effect of different international variables on the returns of companies in the IBEX 35. Previous research has focused on analyzing the impact of national factors (US stock market, US interest rates, oil price, and two financial stress indices: CFSI and VIX) on the domestic market. This paper adopts a different perspective to study the sensitivity of business returns. It first analyzes the individual level of companies and then analyzes the sector level. It also studies the effect of the economic crisis on the sensitivity of stock returns. To conclude, the impact of international factors on corporate returns differs from the effects of national variables demonstrated in previous research.

Suggested Citation

  • M. Caridad SEVILLANO & Francisco JAREÑO, 2017. "The Impact of Relevant International Factors on the Returns of IBEX 35 Companies, 2000-2016," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 17(1), pages 37-56.
    • Handle: RePEc:eaa:aeinde:v:17:y:2017:i:1_3
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    References listed on IDEAS

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    Cited by:

    1. González, María de la O & Jareño, Francisco, 2019. "Testing extensions of Fama & French models: A quantile regression approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 188-204.

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    More about this item

    Keywords

    Stock Market; Business Returns; International Factors;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • O51 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - U.S.; Canada

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