Stock market microstructure in Spain: a note

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dc.contributor.author Peña, Juan Ignacio
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned 2010-03-01T10:48:10Z
dc.date.available 2010-03-01T10:48:10Z
dc.date.issued 1994-07
dc.identifier.uri http://hdl.handle.net/10016/7084
dc.description.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.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Business Economics
dc.relation.ispartofseries 94-27-03
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Market microstructure
dc.subject.other Betas
dc.subject.other Trading mechanisms
dc.title Stock market microstructure in Spain: a note
dc.type working paper
dc.subject.eciencia Empresa
dc.rights.accessRights open access
dc.affiliation.dpto UC3M. Departamento de Economía de la Empresa
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