Market efficiency in the Spanish derivatives markets: An empirical analysis


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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Nieto, M.L., Fernandez, A. & Muñoz, M.J. Market efficiency in the Spanish derivatives markets: An empirical analysis. International Advances in Economic Research 4, 349–355 (1998).

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  • Economic Growth
  • Empirical Result
  • Empirical Analysis
  • International Economic
  • Granger caUSAlity