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Efficiency tests in the Spanish futures markets

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  • Chun I. Lee
  • Ike Mathur

Abstract

The Spanish futures markets, the MEFF RENTA FIJA, and the MEFF RENTA VARIABLE, are among the fast‐growing futures markets in the world. These markets are known for their cutting‐edge technological innovations related to trading, providing information, clearing, and settlement. The growing importance of these markets for both foreign and domestic investors motivated the examination of their efficiency. Test results from serial correlations, unit root tests, and variance ratio tests overwhelmingly show that the random walk hypothesis cannot be rejected, indicating that the MEFF markets are efficient. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 59–77, 1999

Suggested Citation

  • Chun I. Lee & Ike Mathur, 1999. "Efficiency tests in the Spanish futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(1), pages 59-77, February.
    • Handle: RePEc:wly:jfutmk:v:19:y:1999:i:1:p:59-77
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    Cited by:

    1. Kuruppuarachchi, Duminda & Premachandra, I.M. & Roberts, Helen, 2019. "A novel market efficiency index for energy futures and their term structure risk premiums," Energy Economics, Elsevier, vol. 77(C), pages 23-33.
    2. Edward Curran & Jack Hunt & Vito Mollica, 2021. "Single stock futures and their impact on market quality: Be careful what you wish for," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1677-1692, November.
    3. Chiang, Shu-Mei & Lee, Yen-Hsien & Su, Hsin-Mei & Tzou, Yi-Pin, 2010. "Efficiency tests of foreign exchange markets for four Asian Countries," Research in International Business and Finance, Elsevier, vol. 24(3), pages 284-294, September.
    4. Yu Xin & Gongmeng Chen & Michael Firth, 2006. "The Efficiency of the Chinese Commodity Futures Markets: Development and Empirical Evidence," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 14(2), pages 79-92, March.
    5. Jian Zhang & Lee W. Sanning & Sherrill Shaffer, 2010. "Market Efficiency Test in the VIX Futures Market," CAMA Working Papers 2010-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

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