Francisco Jareño

Francisco Jareño
University of Castilla-La Mancha · Department of Economics and Finance

PhD

About

131
Publications
61,193
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1,359
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Introduction
Francisco Jareño currently works at the Department of Economics and Finance, University of Castilla-La Mancha. Francisco does research in Financial Economics. Their current project is 'Evaluación de la calidad docente.'
Additional affiliations
September 2016 - present
University of Castilla-La Mancha
Position
  • Head of Faculty
Description
  • Teaching, Research and Management

Publications

Publications (131)
Article
This study investigates the long-term and dynamic relationship between US sector stock returns and risk factors, focusing on uncertainty. Uncertainty risk factors include volatility indices associated with the equity (VIX), fixed-income (TYVIX), oil (OVX), and foreign exchange (EUVIX) markets. The cointegration analysis shows that VIX, TYVIX, OVX,...
Article
Purpose This paper aims to examine the dynamic return and volatility connectedness for six major industrial metals (tin, lead, nickel, zinc, copper and aluminium) and the coronavirus media coverage index (MCI). Design/methodology/approach To that purpose, this study applies the fresh time-varying parameter vector autoregression methodology (TVP–VA...
Article
There are alternative providers of zero-coupon yield curve datasets. This essential input for most financial purposes can also be estimated from cross-sectional market price information. Although all these datasets are representations of the same reality, each dataset provides estimations from different baskets of assets and different fitting techn...
Article
This research empirically evaluates the potential diversification benefits of Gold during the COVID-19 pandemic period, when including it in equity-based asset allocation strategies. This study proposes minimum VaR portfolios, with monthly rebalance and different wavelet scales (short-run, mid-run and long-run), doing both an in-sample and out-of-s...
Article
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Using NARDL methodology, this research investigates some asymmetric and non-linear interconnections between leading cryptocurrency and commodity returns. Thus, this study explores potential interconnections between these cryptocurrencies and commodity markets in the period between March 07, 2018, and March 26, 2021. This paper splits the entire sam...
Article
This paper explores the dynamic return and volatility connectedness for the three most relevant agricultural and livestock commodity indexes (Softs, Grains and Livestock) and a media sentiment index as the Coronavirus Media Coverage Index (MCI). To that purpose, we apply the fresh time-varying parameter vector autoregression methodology during the...
Article
This paper aims to study the potential effects of changes in international risk factors on leading European construction companies' returns. The study is conducted on a sample period between January 2000 and December 2019 and applies an extension of the Fama and French five-factor model (2015) using the quantile regression methodology. Specifically...
Article
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This study explores potential non-linear and asymmetric interdependencies between oil price shocks and leading cryptocurrency returns. In addition, this research splits changes in crude oil prices into three relevant components: risk, demand, and supply shocks. By applying the NARDL methodology, this paper examines the connection between oil and cr...
Article
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This research explores the impact of COVID-19-related media coverage on the dynamic return and volatility connectedness of the three dominant cryptocurrencies (Bitcoin (BTC), Ethereum (ETH) and Ripple (XRP)) and the fiat currencies of the euro, GBP and Chinese yuan. The sample period covers the first and second devasting waves of the COVID-19 pande...
Article
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Las grandes empresas, los países y los pequeños inversores están cada vez más interesados en dirigir sus inversiones hacia criptodivisas respetuosas con el medio ambiente. Este viraje resulta sensato si se tiene en cuenta el enorme impacto medioambiental que supone el minado de las principales criptomonedas en circulación. La emisión de moneda dig...
Article
We investigate the joint and bivariate return and volatility interdependence between various agricultural commodities and oil price shocks. As an alternative of the Diebold and Yilmaz (2012 and 2014) spillover methodology, this paper proposes the application of the fresh time-varying parameter vector autoregression (TVP-VAR) methodology by Antonaka...
Article
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El mercado de criptodivisas ha experimentado un verdadero tsunami desde que hace ya más de un año comenzara la pandemia de covid-19. Esto se refleja sobre todo en el aumento sin precedentes de: El valor de capitalización total de mercado. El precio del bitcoin. El número de criptodivisas en circulación. ¿Cómo han afectado la covid-19 y sus olas...
Article
This paper explores the static and dynamic connectedness between oil price shocks (risk, demand and supply shocks) and Spanish sector equity indices from January-2000 to July-2019. We document sizable system-wide connectedness between the variables under study. Among the oil shocks, demand and risk shocks are the main transmitter (receiver) of shoc...
Article
This article explores asymmetric interdependencies between the twelve largest cryptocurrency and Gold returns, over the period January 2015 – June 2020 within a NARDL (nonlinear autoregressive distributed lag) framework. We focus our analysis on the epicentre of the first wave of the COVID-19 pandemic from March 2020 to June 2020. During this crisi...
Article
This study explores the dynamic return and volatility connectedness for some dominant industrial (Aluminium, Copper, Lead, Nickel, Tin, and Zinc) and precious metals (Gold, Palladium, Platinum, Silver) to crude oil shocks (risk, demand, and supply) during the sample period between January 2, 2009 and July 17, 2020. Our findings indicate that, deman...
Article
This research explores the sensitivity of the returns of some selected European companies to changes in the explanatory factors proposed during the sample period between January 2000 and December 2019. We focus on listed companies in the tourism and services sector and estimate an extension of the Fama and French five-factor model (2015) by applyin...
Article
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El término fintech (financial technology) hace referencia a las nuevas tecnologías basadas en software y algoritmos especializados, cuyo objetivo es mejorar y automatizar la prestación y el uso de los servicios financieros. El Comité de Estabilidad Financiera señala que las fintech son “la innovación tecnológica en los servicios financieros que po...
Article
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The aim of this paper is to evaluate teaching quality in a pre-service training programme for secondary and technical-schools teachers in Spain, namely the official master degree in the University of Castilla-La Mancha. We analyse several indicators measuring the students’ level of satisfaction and their attitudes towards different aspects of the t...
Article
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This research analyzes non-linear interdependencies between the Polish (WIG20) and the Spanish (IBEX 35) stock market returns with some other relevant international stock market returns, such as the German (DAX-30), the British (FTSE-100), the American (S&P 500) and the Chinese (SSE Composite) stock markets. In addition, this research focuses on th...
Article
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https://theconversation.com/nobel-de-economia-para-las-subastas-de-franjas-de-aterrizaje-frecuencias-de-radio-o-derechos-de-emision-de-co-147973 En época de pandemia y crisis mundial, el Banco de Suecia premia a dos economistas que desarrollan los procedimientos de subastas: Robert Wilson y Paul R. Milgrom. ¿Quién da más? En una subasta queda cla...
Article
This research studies the impact of a training course for University professors based on active methodologies, such as Problem-Based Learning (PBL), on their perception of the acquisition of some relevant specific and generic competences. To that end, we prepare a survey about competences and compare the perception for the teaching staff before and...
Article
This paper analyses the sensitivity of the most relevant European financial institutions’ returns to changes in selected risk factors between October 2003 and December 2018. In concrete, this research estimates, using the quantile regression approach, extensions of the Fama and French five-factor model (2015), adding nominal interest rates, the Car...
Preprint
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This paper explores the dynamic return and volatility connectedness for the three most relevant agricultural commodity markets (Soft, Grain and Livestock) and the Coronavirus Media Coverage Index (MCI) extracted from RavenPack. In concrete, we apply the fresh TVP-VAR methodology proposed by Antonakakis and Gabauer (2017) during the sample period be...
Chapter
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Pandemics are disruptive events that have profound consequences for society and the economy. This volume aims to present an analysis of the economic impact of COVID-19 and its likely consequences for our future. This is achieved by drawing from the expertise of authors who specialise in a wide range of fields including fiscal and monetary policy, b...
Article
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It is well known that zero coupon rates are not observable variables. Their estimation process may be cumbersome and time consuming. We explore the extent to which the set of security prices used in the yield curve construction of three popular interest rate datasets (from the Federal Reserve Board, the US Department of the Treasury, and Bloomberg)...
Article
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En los últimos años el mercado de criptomonedas está viviendo un crecimiento espectacular, con más de 5 500 criptodivisas circulando a nivel mundial. Bitcoin y sus nuevas competidoras El Bitcoin (que comenzó a operar en 2009) es la moneda más negociada en el mercado de criptodivisas, con una cuota de mercado superior al 64%. De enero de 2015 a ju...
Article
This paper focuses on analysing the sensitivity and behaviour of some of the leading insurers currently operating in the Euro area to changes in benchmark interest rates. The methodology used is the Quantile Regression (QR) approach and the period analysed covers from 2003 to 2015 around the recent global financial crisis. The empirical results sho...
Article
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This article examines the connectedness between Bitcoin returns and returns of ten additional cryptocurrencies for several frequencies-daily, weekly, and monthly-over the period January 2015-March 2020 using a nonlinear autoregressive distributed lag (NARDL) approach. We find important and positive interdependencies among cryptocurrencies and signi...
Article
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This paper analyses the impact of different volatility structures on a range of traditional option pricing models for the valuation of call down and out style barrier options. The construction of a Risk-Neutral Probability Term Structure (RNPTS) is one of the main contributions of this research, which changes in parallel with regard to the Volatili...
Article
This research analyses the sensitivity of Bitcoin returns to changes in gold price returns and some other international risk factors such as US stock market returns, interest rates, crude oil prices, the volatility index of the American stock market (VIX) and the Saint Louis financial stress index (STLFSI). This study applies the quantile regressio...
Article
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¿Se acuerdan de cuando de pequeños nos decían “¡Que viene el coco!” y temblábamos sin saber qué era el coco? Lo mismo nos está pasando ahora. “¡Que viene el coronavirus!”, y nos ponemos a temblar y multiplicamos de manera exponencial los efectos del miedo. Tiemblan los niños, que se lo imaginan como un monstruo feo y peludo, tiemblan los mayores. P...
Article
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La irrupción de las grandes tecnológicas en el sector financiero puede ser una alternativa interesante para los usuarios finales y una amenaza potencial para el sector y los reguladores. En este sentido, el volumen de crédito concedido por este tipo de empresas en Europa continental en el año 2018 ha triplicado el de 2016, según el Banco de Pagos I...
Article
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La definitiva suspensión del Mobile World Congress de Barcelona, debido al coronavirus, dejará una factura millonaria. Hasta el punto de que podría tener un efecto negativo sobre el PIB español de un 0,2% dado que se preveía la asistencia de 110.000 visitantes, superando el récord de 2019, y un impacto económico de 492 millones en la capital catala...
Research Proposal
Full-text available
Dear colleagues, I am contacting you because I am organizing a special issue about “Application of Mathematical Analysis and Models to Financial Economics” of the open access journal, Mathematics (http://www.mdpi.com/journal/mathematics), which provides an advanced forum for studies related to mathematics. Mathematics is published by MDPI online m...
Article
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This paper studies in depth the sensitivity of Spanish companies’ returns to changes in several risk factors between January 2000 and December 2018 using the quantile regression approach to capture potential asymmetries. Specifically, this research applies extensions of the Fama and French three- and five-factor models (1993 and 2015), according to...
Article
Full-text available
The zero-coupon yield curve is a common input for most financial purposes. We consider three popular yield curve datasets and explore the extent to which the decision as to what dataset to use for a particular application may have an impact on the results. Many term structure papers evaluate alternative models for estimating zero coupon bonds based...
Article
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This study compares the performance of sector portfolios from Islamic and conventional stock markets, using standard as well as current performance measures for a recent sample period between January 1996 and December 2015. Furthermore, to test the robustness of our analysis and to determine which type of portfolios offer better performance dependi...
Article
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This paper examines the sensitivity of US sector equity indices to changes in nominal interest rates and in the corresponding principal components (level, slope and curvature of the US yield curve) over the period 1990-2013 using factor models and a NARDL approach. Furthermore, for robustness, this research analyses whether the sensitivity of secto...
Article
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This paper estimates US industries' ability to transmit inflation shocks to the prices of their products and services (flow-through capability, FTC) and the stock duration (interest rate sensitivity) at the sector level. Then, considering the significant differences in ability among industries, we analyze the relationship between FTC and interest r...
Chapter
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RESUMEN Este trabajo presenta los resultados de una experiencia de formación en Aprendizaje Basado en Problemas (ABP/PBL) para profesorado universitario, desarrollado por un equipo interdisciplinar de las Áreas de Economía y Empresa. La iniciativa se enmarca en el Plan de formación e innovación del personal docente e investigador del Vicerrectorado...
Article
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This paper studies the potential correlation between the stock market of six relevant countries (Germany, Italy, Spain, France, UK and US) and some important macroeconomic factors, such as the gross domestic product (GDP), the consumer price index (CPI), the industrial production index (IPI) and the unemployment (UNEMP). GDP and UNEMP show statisti...
Article
This research compares twelve different factor models in explaining variations in U.S. sector returns between Nov. 1989 and Feb. 2014 using the quantile regression approach. Specifically, these models rely on the Fama and French three- and five-factor models (1993 and 2015), adding other explanatory factors such as nominal interest rates, and its c...
Article
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This paper studies the sensitivity of Spanish companies included in the IBEX-35 to changes in different explanatory variables such as market return, interest rate (short and long term) and factors proposed by Fama and French (1993 and 2015): SMB (Small Minus Big), HML (High Minus Low), RMW (Robust Minus Weak) and CMA (Conservative Minus Aggressive)...
Chapter
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This paper studies the interest rate risk of some relevant European insurers during the period 2003–2015, using the Quantile Regression (QR) methodology and including the state of the economy. The results show that, in general, the European insurers’ returns have a statistically significant sensitivity to interest rates, although there are relevant...
Chapter
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This paper studies the basic principles of the Islamic financial system to know the positive aspects that make it more solid and stable than the conventional financial system during financial crises. On the other hand, this research carries out a comparison between conventional and Islamic sectoral portfolios for the period from January 1996 to Dec...
Chapter
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This short paper proposes extensions of Fama and French models and compares their explanatory power. In concrete, it tests fluctuations in US sector returns between November 1989 and February 2014. In addition, this paper estimates the models using the quantile regression approach. In short, the most complete model shows the highest explanatory pow...
Article
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This paper examines the sensitivity of the Dow Jones Islamic market index and its corresponding industry equity indices to changes in the level, slope and curvature of the U.S. term structure of interest rates over the period 1996-2015 using the quantile regression approach. The empirical results reveal that the Islamic stock market has a considera...
Article
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This study analyses the US stock market at sector level from January 1990 to April 2013, taking into account the state of the economy. In concrete, this paper focuses on the recession periods, such as July 1990 – February 1991, April – November 2001 and January 2008 – March 2011, according to the NBER classification. Moreover, this analysis studies...
Article
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Since 2007, when the real estate bubble burst, we was immersed in a global economic crisis. During this period, the Spanish financial system has experienced a process of economic imbalance and downturn as a consequence of massive exposure to the construction sector. In this context, the banking institutions, aware of the need to recapitalize their...
Article
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This study aims to measure the inflation news impact on common sector stock returns. Using CPI and PPI announcements and daily returns of S&P500 Index, an Event Study Methodology analysis of a sample period from January 1990 to April 2013 is conducted. Taking into account the direction of the inflation news and the state of the economy, sector retu...
Article
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This research analyzes the impact that international factors have on the yields of the companies’ returns listed in the Spanish index, IBEX-35. Specifically, the impact that some international factors, such as the stock market return, interest rate, oil price and CFSI and VIX indices, have on the Spanish stock market is analyzed using a quantile re...
Article
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In this paper, we analyze the impact of the recent financial crisis in the US stock market, specifically on the relation between stock returns, at an industry level, and unexpected changes in nominal interest rates. Thus, we decompose the nominal interest rate into its components: real interest and inflation rates in order to do a more detailed stu...
Article
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This paper focuses on analyzing the effect of different international variables on the returns of companies in the IBEX 35. Previous research has focused on analyzing the impact of national factors (US stock market, US interest rates, oil price, and two financial stress indices: CFSI and VIX) on the domestic market. This paper adopts a different pe...
Poster
Full-text available
Se presentan los resultados y estrategias para conocer el grado de consecución de competencias y de satisfacción en general del los alumnos del MUFPS de la Universidad de Castilla-La Mancha.
Article
This paper investigates the presence of time-varying causal linkages in mean and variance between oil price changes and stock returns for six major oil-importing countries (France, Germany, Italy, Spain, the UK and the US) in a multiscale framework that combines wavelet analysis and a modified version of the dynamic causality test of Lu et al. (201...
Article
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This paper examines the degree of interest rate exposure of Spanish industries for the period 1993-2012 using the quantile regression methodology. The empirical results show that the Spanish stock market exhibits a significant level of interest rate sensitivity, although there are notable differences across industries and over time. In addition, th...
Article
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This study examines the short-run response of daily stock prices in the Spanish market to the announcements of inflation news at a sector level at the moments when the Spanish authorities announced the IPC (consumer price index) during the period 1995–2004. The study also incorporates two novel explanatory variables: core inflation and ‘non-core’ i...
Article
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This paper analyzes investor behavior depending on the flow-through capability in the US stock market, because investors seek protection from inflation rate changes, and the flow-through capability (a firm’s ability to transmit inflation shocks to the prices of its products and services) is a key factor in investment decisions. Our estimates of the...
Article
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We examine investor behavior under interest and inflation risk in different scenarios. To that end, we analyze the relation between stock returns and unexpected changes in nominal and real interest rates and inflation for the US stock market. This relation is examined in detail by breaking the results down from the US stock market level to sector,...
Article
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This study focuses on analyzing the influence of changes in 10-year nominal interest rates on US sector returns, distinguishing two different periods, before and after the Subprime crisis. We run the three-factor model of Fama and French, which incorporates as explanatory factors the nominal interest rate and the size and growth opportunities facto...
Article
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This research focuses on analysing the US stock market in recent years –specifically the US stock market, that is, Dow Jones index, and six sector portfolios (Financials, Energy, Technology, Health Care, Consumer Discretionary and Telecommunications)-. All sectors achieve higher returns than expected according to the CAPM (except the “Consumer Disc...
Article
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This article studies the sensitivity of the US stock market to nominal and real interest rates and inflation during the 2003–2013 period using quantile regression (QR). The empirical results show that the stock market has a significant sensitivity to changes in interest rates and inflation and finds differences across sectors and over time. Moreove...
Article
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This paper analyzes the relationship between the US stock market and some relevant US macroeconomic factors, such as gross domestic product, the consumer price index, the industrial production index, the unemployment rate and long-term interest rates. All the relevant factors show statistically significant relationships with the stock market except...