Transmisión de información y carteras óptimas en el mercado bursátil español

Abstract

This article examines the transmission of volatility and the creation of optimal risk minimizing portfolios among large-, medium- and small-capitalization companies of the Spanish stock market, which are represented by the IBEX 35, IBEX MEDIUM CAP and IBEX SMALL CAP indexes respectively. A comparison of two volatility models, a symmetric and an asymmetric multivariate GARCH model with structural changes, shows that there are differences in the transmission of volatility. We demonstrate that, in all the possible scenarios analyzed, the risk minimizing portfolio is composed of medium and small indexes with a higher weight of medium firms. The risk is even lower when asymmetric effects and structural changes are taken into account. These results therefore illustrate the importance of knowing the main characteristics of these firms with respect to those than compose the IBEX 35 index.