Lafuente Luengo, Juan ÁngelUniversidad Carlos III de Madrid. Departamento de Economía de la Empresa2010-12-202010-12-202000-01https://hdl.handle.net/10016/9849This paper analyses the intraday lead and lag relationships between return and volatilities in the Ibex 35 spot and futures markets. With hourly data we jointly perform the analysis estimating a bivariate error correction model. with GARCH perturbations, which captures stochastically the presence of an intraday U shaped curve for both spot and futures volatility. Consistent with previous studies for U .S., our findings show an unidirectional causal relationship from the futures to spot market, both in returns and volatilities. This empirical pattern suggests that futures markets leads spot market to incorporate the arrival of new informationapplication/octet-streamapplication/octet-streamapplication/pdfengAtribución-NoComercial-SinDerivadas 3.0 EspañaFuturesStock indexGARCHCausalityworking paperC51G13G14Empresaopen access