Stock market microstructure in Spain: a note

Juan Ignacio Peña

DEE - Working Papers. Business Economics. WB from Universidad Carlos III de Madrid. Departamento de Economía de la Empresa

Abstract: This note addresses some microstructure consequences of the Spanish Stock Exchange Reform on measures of systematic risk of daily asset returns. The Reform modified the trading system, clearing and settlement procedures among other changes. This note focuses on how these events affected systematic risk measures and autocorrelations in a sample of selected stocks. After the Reform significant decreases in autocorrelations and lower biases in the betas are found, suggesting that the Reform had increased market's operational efficiency. However, Banks sector have special features which are explained in terms of trade mechanisms.

Keywords: Market; microstructure; Betas; Trading; mechanisms (search for similar items in EconPapers)
Date: 1994-07
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wbrepe:7084

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