Persistence in the realized betas: some evidence for the Spanish stock market

• Miguel Martin-Valmayor ^[1] ; Guglielmo Maria Caporale Brunel ^[2] ; Luis A. Gil-Alana ^[3]
  1. [1] Universidad Francisco de Vitoria

     Universidad Francisco de Vitoria

     Pozuelo de Alarcón, España

     
  2. [2] University London
  3. [3] University of Navarra

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• Localización: Leveraging new business technology for a sustainable economic recovery: XXXVI Congreso Anual AEDEM: 1 al 3 de junio de 2022, Pozuelo de Alarcón, Madrid / coord. por Abel Monfort, Susana Fernández Lores, 2022, ISBN 978-84-19480-06-4, pág. 77
• Idioma: español
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• Resumen

  • This paper examines the stochastic behaviour of the realized betas within the one-factor CAPM for the six companies with the highest market capitalization included in the Spanish IBEX stock market index. Fractional integration methods are applied to estimate their degree of persistence at the daily, weekly and monthly frequency over theperiod 1 January 2000 – 15 November 2018 using 1, 3 and 5-year samples. On the whole, the results indicate that the realized betas arehighly persistent and do not exhibitmean-reverting behaviour. However, the findings are rather sensitive to the choice of frequency and time span (number of observations).