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dc.contributor.authorMcMillan, David-
dc.contributor.authorGarcia, Raquel Quiroga-
dc.description.abstractThis 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.en_UK
dc.publisherWiley-Blackwell for Wiley Periodicals-
dc.relationMcMillan 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.-
dc.rightsThe 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.-
dc.titleEfficiency of the IBEX spot-futures basis: The impact of the mini-futuresen_UK
dc.typeJournal Articleen_UK
dc.rights.embargoreasonThe publisher does not allow this work to be made publicly available in this Repository therefore there is an embargo on the full text of the work.-
dc.citation.jtitleJournal of Futures Markets-
dc.type.statusPublisher version (final published refereed version)-
dc.contributor.affiliationAccounting and Finance-
dc.contributor.affiliationUniversity of Oviedo-
Appears in Collections:Accounting and Finance Journal Articles

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