Publication: Stock Market Microstructure in Spain: A Note
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1996
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Elsevier
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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.
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International Journal of Management, 1996, vol.13, nº 2, p. 230-240.