Pilar Grau-Carles

Empirical evidence of long-range correlations in stock returns

A major issue in financial economics is the behaviour of stock returns over long horizons. This study provides empirical evidence of the long-range behaviour of various speculative returns. Using different techniques such as R/S and modified R/S analysis, detrended fluctuation analysis (DFA), fractional differencing test (GPH) and ARFIMA maximum likelihood estimation, we find little evidence of long memory in returns themselves, by strong evidence of persistence in volatility measured as squared returns or absolute returns. These results allow us to conclude that any stock market model should show no temporal dependence in returns and long-range correlation in conditional volatility.

Long-range power-law correlations in stock returns

This study investigates long-range power-law correlations in US, UK, Japanese, German, French and Spanish stock markets using daily data and applying a recently developed residual analysis termed detrended fluctuation analysis (DFA). We quantify correlations for the returns, absolute value of returns and square of returns. The results show that there is little evidence of long-range correlations in returns but there is strong evidence of long-range correlation in absolute and squared returns. For the absolute returns, a cross-over of approximately 41 days is found.

Mutual Fund Performance and Benchmark Choice: The Spanish Case

This study deals with the relevance of benchmark choice for mutual fund performance behaviour, completing previous research on the Spanish Mutual Fund Market. Using Jensens and Treynor–Mazuys measures, the study highlights the relevance of style analysis for benchmark election in order to evaluate fund managers.

Nonlinearities in the exchange rates returns and volatility

Recent findings of nonlinearities in financial assets can be the product of contamination produced by shifts in the distribution of the data. Using the BDS and Kaplan tests it is shown that, some of the nonlinearities found in foreign exchange rate returns, can be the product of shifts in variance while other do not. Also, the behavior of the volatility is studied, showing that the ARFIMA modeling is able to capture long memory, but, depending on the proxy used for the volatility, is not always able to capture all the nonlinearities of the data

On the long-term behavior of mutual fund returns

As the mutual fund industry has grown over the last few years, its analysis has become an issue that affects not only academics and professionals but also investors who use these funds as long-term savings instruments. In this context, the ability of mutual fund managers to continuously demonstrate superior performance is a key issue for investors, as persistence, which is usually interpreted as both ‘winners’ and ‘losers’ mutual funds, are likely to repeat their performance. Since the studies of Treynor and Mazuy (1966) and Jensen (1968) the search for persistence in mutual funds has not received a definitive response. While these initial studies, which use a benchmark to analyse the performance of the fund, La Bolsa de Madrid EDICIONES EL PAÍS, S. L.

Networks, Cartels, and Antitrust Policy

Despite multiple applications of network theory in different fields of social and legal sciences in general, the possibility of applying this theory to the economic analysis of the antitrust law and, more specifically, to the study of cartels has not yet been considered. This paper develops a set of distances, clustering and centrality measures, taken from network theory, and applies them to the specific case of a cartel sanctioned as such by the European Commission. This approach has enabled us to quantify some characteristic elements of the cartel, such as, for instance, a remarkable asymmetry between operators (nodes in the network), its different degree of influence (study of links), as well as the critical importance of some operators versus other cartelized agents, such that their elimination from the organization would not enable them to create their own cartel. This leads the authors to reconsider the antitrust policy based on leniency programmes.