Análisis de la reacción del Ibex 35 ante shocks positivos y negativos

Abstract

There is hardly any empirical evidence that tries to analyze the reaction of the Spanish market to different positive and negative shocks. Our work seeks to remedy this lack by presenting a comprehensive analysis of the reaction in the short term (10 sessions) of the main Spanish market index, the Ibex 35 index, on positive and negative shocks of different sizes over the 1991-2010 period. Along with a seasonal analysis (months, seasons and days) and a division in bullish and bearish periods, this paper shows that the market reacts more strongly to negative shocks by an overreaction effect, which is more evident the greater the shock and the number of sessions after the shock, especially in the summer months, the middle days of the week and bearish periods. This enabled us to determine that the best investment strategy was one based on buying and holding after negative shocks.