Industry concentration and market volatility

• Autores: José Luis Miralles Marcelo, José Luis Miralles Quirós, José Luis Martíns
• Localización: XII Iberian-Italian Congress of Financial and Actuarial Mathematics: 7th to 9th JulY 2011 Lisbon Portugal / José Luis Miralles Marcelo (dir. congr.), 2011, págs. 1-25
• Idioma: español
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• Resumen

  • In this paper our aim is to gain a better understanding of the relationship between market volatility and industrial structure. As conflicting results have been documented regarding the relationship between market industry concentration and market volatility, this study investigates this relationship in the time series. We have found that this relationship is only significant and positive for Spain. Our results suggest that we cannot generalize across different countries that market industrial structure (concentration) is a significant factor in explaining market volatility.