Market efficiency in the Spanish derivatives markets: An empirical analysis

M. Nieto, Angeles Fernandez and M. Muñoz

International Advances in Economic Research, 1998, vol. 4, issue 4, 349-355

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. Copyright International Atlantic Economic Society 1998

Date: 1998
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DOI: 10.1007/BF02295688

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