Persistence in the realized betassome evidence for the Spanish stock market

  1. Miguel Martin-Valmayor 1
  2. Guglielmo Maria Caporale Brunel 2
  3. Luis A. Gil-Alana 3
  1. 1 Universidad Francisco de Vitoria
    info

    Universidad Francisco de Vitoria

    Pozuelo de Alarcón, España

    ROR https://ror.org/03ha64j07

  2. 2 University London
  3. 3 Universidad de Navarra
    info

    Universidad de Navarra

    Pamplona, España

    ROR https://ror.org/02rxc7m23

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Book:
Leveraging new business technology for a sustainable economic recovery
  1. Abel Monfort (coord.)
  2. Susana Fernández-Lores (coord.)

Publisher: Escuela Superior de Gestión Comercial y Marketing, ESIC

ISBN: 978-84-19480-06-4

Year of publication: 2022

Pages: 77

Congress: Asociación Europea de Dirección y Economía de Empresa. Congreso Anual. AEDEM (36. 2022. Pozuelo de Alarcón (Madrid))

Type: Conference paper

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Abstract

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).

Data source: Dialnet