Financial crisis and market risk premiumIdentifying multiple structural changes

  1. García Machado, Juan José
  2. Congregado Ramírez de Aguilera, Emilio
  3. Golpe Moya, Antonio Aníbal
  4. Vega Jiménez, Juan José de la
Journal:
Innovar: revista de ciencias administrativas y sociales

ISSN: 0121-5051

Year of publication: 2011

Volume: 21

Issue: 39

Pages: 153-160

Type: Article

More publications in: Innovar: revista de ciencias administrativas y sociales

Metrics

JCR (Journal Impact Factor)

  • Year 2011
  • Journal Impact Factor: 0.069
  • Journal Impact Factor without self cites: 0.034
  • Article influence score: 0.0
  • Best Quartile: Q4
  • Area: MANAGEMENT Quartile: Q4 Rank in area: 167/168 (Ranking edition: SSCI)
  • Area: BUSINESS Quartile: Q4 Rank in area: 110/113 (Ranking edition: SSCI)
  • Area: PUBLIC ADMINISTRATION Quartile: Q4 Rank in area: 44/45 (Ranking edition: SSCI)

SCImago Journal Rank

  • Year 2011
  • SJR Journal Impact: 0.137
  • Best Quartile: Q3
  • Area: Marketing Quartile: Q3 Rank in area: 130/192
  • Area: Accounting Quartile: Q4 Rank in area: 110/144
  • Area: Strategy and Management Quartile: Q4 Rank in area: 293/422
  • Area: Public Administration Quartile: Q4 Rank in area: 90/136
  • Area: Sociology and Political Science Quartile: Q4 Rank in area: 682/994

CIRC

  • Social Sciences: B

Scopus CiteScore

  • Year 2011
  • CiteScore of the Journal : 0.1
  • Area: Marketing Percentile: 15
  • Area: Sociology and Political Science Percentile: 13
  • Area: Strategy and Management Percentile: 8
  • Area: Public Administration Percentile: 7
  • Area: Accounting Percentile: 7

Abstract

The relationship between macroeconomic variables and stock market returns is, by now, well-documented in the literature. However, in this article we examine the long-run relationship between stock and bond markets returns over the period from 1991:11 to 2009:11, using Bai and Perron�s multiple structural change approach. Findings indicate that while the market risk premium is usually positive, periods with negative values appear only in three periods (1991:1-1993:2, 1998:3-2002:2 and from 2007:1-2009:11) leading to changes in the GDP evolution. Thereby, the study shows the presence of structural breaks in the Spanish market risk premium and its relationship with business cycle. These findings contribute to a better understanding of close linkages between the financial markets and the macroeconomic variables such as GDP. Implications of the study and suggestions for future research are provided.