Firm size and volatility analysis in the Spanish stock market
利用西班牙股市数据，研究大公司与小公司之间的波动率溢出效应及其对预期收益的影响，发现双向溢出效应尤其在坏消息后显著，且风险价格为正，支持波动率反馈效应。
Using Spanish stock market data, this paper examines volatility spillovers between large and small firms and their impact on expected returns. By using a conditional capital asset pricing model (CAPM) with an asymmetric multivariate GARCH-M covariance structure, it is shown that there exist bidirectional volatility spillovers between both types of companies, especially after bad news. After estimating the model, a positive and significant price of risk is obtained. This result is consistent with the volatility feedback effect, one of the most popular explanations of the asymmetric volatility phenomenon, and explains why risk premiums are much more sensitive to negative return shocks coming from the whole market or other related markets.