The impact of international factors on Spanish company returns: a quantile regression approach

Ma Caridad Sevillano1, Francisco Jareño1
1Department of Economics and Finance, Faculty of Economic and Business Sciences, University of Castilla-La Mancha, Albacete, Spain;

Tóm tắt

Từ khóa


Tài liệu tham khảo

Aslanidis, N., and C. Christiansen. 2012. Smooth transition patterns in the realized stock-bond correlation. Journal of Empirical Finance 19 (4): 454–464.

Ballester, L.Román, R. Ferrer, and C. González. 2010. Linear and nonlinear interest rate sensitivity of Spanish banks. The Spanish Review of Financial Economics 9 (2): 35–48.

Bartram, S. 2002. The interest rate exposure of nonfinancial corporations. European Finance Review 6 (1): 101–125.

Bekaert, G., and M. Hoerova. 2014. The VIX, the variance premium and stock market volatility. Journal of Econometrics 183 (2): 181–192.

Brock, W.A., W.D. Dechert, J.A. Scheinkman, and B. LeBaron. 1996. A test for independence based on the correlation dimension. Econometric Reviews 15 (3): 197–235.

Calvo, A., J. Parejo, and A. Cuervo. 2014. Manual Del Sistema Financiero Español. Barcelona: Ariel.

Chiang, T.C., J. Li, and S.Y. Yang. 2015. Dynamic stock-bond return correlations and financial market uncertainty. Review of Quantitative Finance and Accounting 45 (1): 59–88.

Chicago Board Options Exchange. 2016. http://www.cboe.com/delayedquote/simplequote.aspx?ticker=VIX . Accessed 3 Apr 2016.

Ciner, C. 2001. Energy shocks and financial markets: nonlinear linkages. Studies in Non-Linear Dynamics and Econometrics 5 (3): 203–212.

Cong, R., Y. Wei, J. Jiao, and Y. Fan. 2008. Relationships between oil price shocks and stock market: An empirical analysis From China. Energy Policy 36 (9): 3544–3553.

Connolly, R., C. Stivers, and L. Sun. 2005. Stock market uncertainty and the stock-bond return relation. The Journal of Financial and Quantitative Analysis 40 (1): 161–194.

Czaja, M., H. Scholz, and M. Wilkens. 2010. Interest rate risk rewards in stock returns of financial corporations: Evidence From Germany. European Financial Management 16 (1): 124–154.

Fama, E., and K. French. 1992. The cross-section of expected stock returns. The Journal of Finance 47 (2): 427–466.

Fama, E., and K. French. 2015. A five-factor asset pricing model. Journal of Financial Economics 116 (1): 1–22.

Federal Reserve Bank of Cleveland. 2016. https://www.clevelandfed.org/en/our-research/indicators-and-data/cleveland-financial-stress-index.aspx . Accessed 3 Apr 2016.

Federal Reserve Bank of St Louis. 2016. https://research.stlouisfed.org/fred2/series/DCOILWTICO . Accessed 3 Apr 2016.

Ferrando, L., R. Ferrer, and F. Jareño. 2017. Interest rate sensitivity of Spanish industries: A quantile regression approach. The Manchester School 85 (2): 212–242.

Ferrer, R., R. Jammazi, J. Bolós, and R. Benítez. 2015. Interactions between financial stress and economic activity: a time-frequency analysis for the U.S. Working Paper University of Valencia. http://www.uv.es/vbolos/investigacion/pdf/20_Chaos_5_2015_Neutro.pdf .

Gironella, E. 2005. El apalancamiento financiero: de cómo un aumento del endeudamiento puede mejorar la renabilidad financiera de una empresa. Revista de contabilidad y dirección 2: 71–91.

Jammazi, R., R. Ferrer, F. Jareño, and S.M. Hammoudeh. 2017a. Main driving factors of the interest rate-stock market Granger causality. International Review of Financial Analysis 52: 260–280.

Jammazi, R., R. Ferrer, F. Jareño, and S.J.H. Shahzad. 2017b. Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective? International Review of Economics and Finance 49: 453–483.

Jareño, F. 2005. Flow-through capability: the Spanish case. Journal of Asset Management 6 (3): 191–205.

Jareño, F. 2006a. Modelos de estudio del riesgo de interés e inflación. Estrategia Financiera 232: 37–44.

Jareño, F. 2006b. Sensibilidad de los rendimientos sectoriales a tipos de interés reales e inflación. Investigaciones Económicas 30 (3): 577–610.

Jareño, F. 2008. Spanish stock market sensitivity to real interest and inflation rates: an extension of the Stone two-factor model with factors of Fama and French three-factor model. Applied Economics 40 (24): 3159–3171.

Jareño, F., R. Ferrer, and S. Miroslavova. 2016. US stock market sensitivity to interest and inflation rates: a quantile regression approach. Applied Economics 26 (48): 2469–2481.

Jones, C., and K. Gautman. 1996. Oil and the stock markets. Journal of Finance 51 (2): 463–491.

Koenker, R., and G.J. Basset. 1978. Regression quantiles. Econometrica 46 (1): 33–50.

Monsueto, S.E., A. Machado, and A. Golgher. 2006. Desigualdades de remuneraciones en Brasil: Regresiones por cuantiles. Revista de la Cepal 90: 171–189.

Moya-Martínez, P., R. Ferrer, and F. Escribano Sotos. 2013. Oil price risk in the Spanish stock market: An industry perspective. Economic Modelling 37: 280–290.

Moya-Martínez, P., R. Ferrer-Lapeña, and F. Escribano-Sotos. 2015. Interest rate changes and stock returns in Spain: A wavelet analysis. Business Research Quarterly 18 (2): 95–110.

Ohmi, H., and T. Okimoto. 2016. Trends in stock-bond correlations. Applied Economics 48 (6): 536–552.

Park, J., and R. Ratti. 2007. Oil price shocks and stock markets in the US and 13 European countries. Energy Economics 30 (5): 2587–2608.

Ramos, S., and H. Veiga. 2011. Risk factors in oil and gas industry returns: International evidence. Energy Economics 33 (3): 525–542.

Rossi, G. 2013. La volatilidad en mercados financieros y commodities. INVENIO 16 (30): 59–74.

Sadorsky, P. 2001. Risk factors in stock returns of Canadian oil and gas companies. Energy Economics 23 (1): 17–28.

Soto, G., R. Ferrer, and C. González. 2005. Determinants of interest rate exposure of Spanish non-financial firms. European Review of Economics 4: 55–71.

Staikouras, S.K. 2003. The interest rate risk exposure of financial intermediaries: A review of the theory and empirical evidence. Financial Markets, Institutions & Instruments 12 (4): 257–289.

Staikouras, S.K. 2006. Financial intermediaries and interest rate risk: II. Financial Markets, Institutions & Instruments 15 (5): 225–272.

Stone, B.K. 1974. Systematic interest-rate risk in a two-index model of returns. Journal of Financial and Quantitative Analysis 9 (5): 709–721.

Tessaromatis, N. 2003. Stock market sensitivity to interest rates and inflation. EFMA.

Treasury. 2016. https://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=yiel . Accessed 3 Apr 2016.

Yahoofinance. 2016. https://es.finance.yahoo.com/q/hp?s=%5EGSPC . Accessed 3 Apr 2016.