RT Generic
T1 Stock market microstructure in Spain: a note
A1 Peña, Juan Ignacio
A2 Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, 
AB 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.
YR 1994
FD 1994-07
LK https://hdl.handle.net/10016/7084
UL https://hdl.handle.net/10016/7084
LA eng
DS e-Archivo
RD 27 jul. 2024