Market efficiency in the Spanish derivatives markets: An empirical analysis

Cobertura de Carteras ndice de Renta Variable con Futuros sobre el Ibex 35 (Hedging Equity Stock Index Portfolios with Stock Index Futures on the Ibex 35)

“…Entre otros, los trabajos de Climent y Pardo (1996) Solórzano (1996), Lafuente (1999), Pardo y Climent (2000), Balbás, Longarela y Pardo (2000) y Blanco (2003) estudian la causalidad entre el precio del contado y del futuro con datos intradía, sin abordar el cálculo del ratio de cobertura. Nieto et al (1998) analizan la cointegración de las series del cierre diario de los logaritmos de los precio del contado y del futuro para el periodo 1994-96, concluyendo que, en el corto plazo, los movimientos en el precio del futuro se anticipan a los del contado, en línea de la hipótesis de que el precio del futuro incorpora la nueva información con mayor rapidez que el del contado. (2003) aplican un modelo EC-GARCH bivariante con datos horarios.…”

Some Aspects of Application of VECM Analysis for Modeling Causal Relationships Between Spot and Futures Prices

“…in [Maddala, 2006]. An example of the application of this methodology for the analysis of the market efficiency provided Nieto et al [1998].…”

“…These problems affect both the proper preparation of the data, as well as adjusting methodology, which is expected to correspond to the nature of the phenomena examined. [Nieto et al, 1998], [Chen, Zheng, 2008], [Green, Joujon, 2000]; 1-hour [Gwilym, Buckle, 2001]; 15-minutes [Gosh, 1993], [Hodgson et al, 2006], [Cheung, Ng, 1999]; 5-minutes [Stoll, Whaley, 1990], [Chiang, Fong, 2001], [Frino, West, 1999], [Abhyankar, 1998]; 1-minute [Dwyer et al, 1996], [Kawaller et al, 1988], [Pizzi et al, 1998]; tick-by-tick [Chu et al, 1999], [Fung, Jiang, 1999];…”

Intraday Anomalies in the Relationship betweenU.S. Futures and European Stock Indexes

“…Chang-Lee (2008) for Taiwan, Wahab-Lashgari (1993), Abyankar (1995Abyankar ( , 1998, Brooks et al (2001), Brooks-Garrett (2002) for U.K., Nieto et al (1998) for Spain, Kenourgios (2004), Floros-Vougas (2007), Andreous-Pierides (2008), Kavussanos et al (2008) for Greece. The European markets are the object of a cross-country investigation by Antoniou et al (2003), who focus on the three largest European stock indexes (FTSE100 for U.K., DAX-100 for Germany and CAC-40 for France) and their underlying futures contracts during the period 1990-1998.…”