Stock market microstructure in Spain: a note

e-Archivo Repository

e-Archivo estará en modo consulta durante los próximos días. Por favor, NO DEPOSITE ningún trabajo. Los enlaces a través del handle no están accesibles, si necesita hacer una búsqueda de sus publicaciones, pinche en "Navegar por" "Autores". Disculpen las molestias.

Show simple item record Peña, Juan Ignacio
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía de la Empresa 2010-03-01T10:48:10Z 2010-03-01T10:48:10Z 1994-07
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.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
 Find Full text

Files in this item

*Click on file's image for preview. (Embargoed files's preview is not supported)

The following license files are associated with this item:

This item appears in the following Collection(s)

Show simple item record