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Journal of Applied Sciences
  Year: 2007 | Volume: 7 | Issue: 5 | Page No.: 633-653
DOI: 10.3923/jas.2007.633.653
 
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Stock Market Indices and Investment Funds. An Empirical Approach in the Spanish and European Context

Luis Ferruz, Isabel Marco and Francisco Javier Rivas

Abstract:
This paper analyses changes in the levels of volatility of the Ibex 35 index over the past decade, as a representative index and benchmark for the Spanish equities market and the performance of the leading European stock market indices, Eurotop 100 and Euro Stoxx 50. We also consider the increasing importance and acceptance of mutual funds as the ideal instrument for the financial diversification of investment portfolios. The paper links mutual funds and benchmarks to focus on the analysis of a sample of equity investment funds, comparing their performance in terms of both returns and historical homocedastic volatility over various time periods (250, 100 and 20 days) with that of the most representative indices in the Spanish and European markets using the same parameters. These indices serve as a benchmark against which to assess the extent to which investment in funds is in fact rational in financial terms. We illustrate our approach using a sample of domestically and internationally diversified mutual funds, as well as three benchmarks, the Ibex 35, Eurotop 100 and Euro Stoxx 50 indices. Minimum quadratic linear models are applied to series of daily returns and to volatilities within the homocedastic framework and their correlation.
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How to cite this article:

Luis Ferruz, Isabel Marco and Francisco Javier Rivas, 2007. Stock Market Indices and Investment Funds. An Empirical Approach in the Spanish and European Context. Journal of Applied Sciences, 7: 633-653.

DOI: 10.3923/jas.2007.633.653

URL: https://scialert.net/abstract/?doi=jas.2007.633.653

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