Journal of Applied Sciences1812-56541812-5662Asian Network for Scientific Information10.3923/jas.2007.633.653FerruzLuis MarcoIsabel Javier RivasFrancisco 5200775This 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.]]>Aznar, A.,1989Basarrate, B. and G. Rubio,19999273281Bhargava, R., A. Bose and D.A. Dubofsky,199825765773Carhart, M.M., 1997525782Chamorro, J.M. and J.M. Perez-de-Villarreal,20002783104Chang, E.C. and W.G. Lewellen,1984575772Chang, E.C. and W.G. Lewellen,19851985Chiang, W.C., T.L. Urban and G.W. Baldridge,199624205215Connor, G. and R. Korzjszyk,19917424Cumby, R. and J. Glen,199043383399Daniel, K., M. Grinblatt, S. Titman and R. Wermers,19975210351058Detzler, M. and J. Wiggins,19978291313Elton, E.J., M. Gruber, S. Das and C. Blake, 199669133157Eun, C.S., R. Kolodny and B.G. Resnick,199359817Ferson, W. and R. Schadt, 199651425461Gallo, J. and P. Swanson,19962016351650Goetzmann, W.N. and R.G. Ibbotson,199420918Grinblatt, M. and S. Titman, 198962393416Grinblatt, M. and S. Titman,1993664768Grinblatt, M., S. Titman and R. Wermers,19958510881105Hallahan, T.A. and R.W. Faff,200111119126Grinblatt, M. and S. Titman, 198962393416Indro, D.C., C.X. Jiang, B.E. Patuwo and G.P. Zhang,199927373380Jennergren, L.P.,199220249255Jensen, M.C.,196823389416Jensen, M.C.,196942167247Khorana, A. and E. Nelling,1997536274Lamothe, P.,1993Lehman, B. and D. Modest,198742233265Leibowitz, M.L., L.N. Bader, S. Kogelman and A.R. Dravid,1995504048Lintner, J.,1965471337Malkiel, B.G.,199550549572Markowitz, H.,195277791Martinez, M.A.,2001213129154Morey, M.R. and R.C. Morey,199927241258Murthi, B.P.S., Y.K. Choi and P. Desai,199798408418Nattemberg, S.,1988O'Neal, E.S.,1997533746Okunev, J.,199017247264Ostermark, R.,199018159169Premachandra, I.M., J.G. Powell and J. Shi,199826319331Redman, A., N. Gullett and H. Manakyan,2000137585Reilly, F. and R. Akhtar,1995223352Ribeiro, M.D.C., D.A. Paxson and M.J. Da-Rocha,19995342365Rubio, G.,199317341Rubio, G.,19955127153Shachmurove, Y.,20012001Sharpe, W.F.,19639277293Sharpe, W.,196639119138Sharpe, W.,199218719Solnik, B.H.,19748500524Solnik, B.H.,19749537554Solnik, B.H.,197429365378Solnik, B.H.,1974304854Solnik, B.H.,198338449457Solnik, B.H.,1993Treynor, J.,1965XLIII6375Treynor, J. and K. Mazuy,19661966Volkman, D.A. and M.E. Wohar,199518415430Wong, M.C.S.,1997255763