Market efficiency in the Spanish derivatives markets: An empirical analysis

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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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). https://doi.org/10.1007/BF02295688

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Keywords

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