showing 2 related works from this author
Oil price risk in the Spanish stock market: An industry perspective
2014
Abstract This study examines the sensitivity of the Spanish stock market at the industry level to movements in oil prices over the period 1993–2010, paying special attention to the presence of endogenously determined structural changes in the relationship between oil price changes and industry equity returns. The empirical results show that the degree of oil price exposure of Spanish industries is rather limited, although significant differences are found across industries. The oil price sensitivity is very weak in the 1990s, a period of fairly stable and low oil prices. Instead, the link between crude oil and stock prices seems to have increased during the 2000s, becoming primarily positiv…
Interest rate changes and stock returns in Spain: A wavelet analysis
2015
This paper investigates the relationship between changes in interest rates and the Spanish stock market at the industry level over the period from January 1993 to December 2012 using a wavelet-based approach. The empirical results indicate that Spanish industries exhibit, in general, a significant interest rate sensitivity, although the degree of interest rate exposure differs considerably across industries and depending on the time horizon under consideration. In particular, regulated industries such as Utilities, highly indebted industries such as Real Estate, Utilities or Technology and Telecommunications, and the Banking industry emerge as the most vulnerable to interest rates. Further,…