Market efficiency in the Spanish derivatives markets: An empirical analysis |
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Authors: | M Luisa Nieto Angeles Fernandez M Jesus Muñoz |
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Institution: | (1) Universitat Jaume I, Spain |
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Abstract: | This paper analyzes Granger caUSAlity between daily prices of the Spanish stock index (Ibex 35) and its futures contract using
Johansen cointegration methodology. The study differentiates between short-run and long-run caUSAlity. The empirical results
prove that, in the short run, the futures price causes the spot price. However, the opposite is not true. On the other hand,
long-run caUSAlity is embodied in the response of futures prices after deviations from the long-run equilibrium. These results
say that during the period of study, the Spanish futures market behaved as an efficient market. |
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Keywords: | |
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