|Appears in Collections:||Accounting and Finance Journal Articles|
|Peer Review Status:||Refereed|
|Title:||Efficiency of the IBEX spot-futures basis: The impact of the mini-futures|
Garcia, Raquel Quiroga
|Citation:||McMillan D & Garcia RQ (2008) Efficiency of the IBEX spot-futures basis: The impact of the mini-futures, Journal of Futures Markets, 28 (4), pp. 398-415.|
|Abstract:||This paper considers whether the introduction of the mini-futures contract for the Spanish Ibex index affects overall market efficiency. Using linear, non-linear, and fractional integration modeling techniques for the basis term, results of this study suggest the following salient points. First, the equilibrium speed of adjustment is reduced after the introduction of the mini-futures contract. This effect is particularly pronounced in the mini-futures second year when its contracts are more heavily traded. Second, fractional integration tests support longer memory in the basis term after the contract introduction, again particularly in the second year. Third, the relationship between the full-size and mini-futures contracts appears highly efficient, with a quick speed of adjustment and short memory. Finally, an examination of the volatility dynamics suggests that in the second year of the mini-futures contract shocks to spot return volatility exhibit longer memory. The results reported here suggest that the increased use of the mini-futures contract after its introduction has had a detrimental impact on price discovery.|
|Rights:||The publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.|
|McMillan_2008_Efficiency_of_the_IBEX .pdf||304.47 kB||Adobe PDF||Under Permanent Embargo Request a copy|
Note: If any of the files in this item are currently embargoed, you can request a copy directly from the author by clicking the padlock icon above. However, this facility is dependent on the depositor still being contactable at their original email address.
This item is protected by original copyright
Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.
If you believe that any material held in STORRE infringes copyright, please contact email@example.com providing details and we will remove the Work from public display in STORRE and investigate your claim.