IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

- Evaluation Of The Fixing Trading System In The Spanish Market

Listed author(s):
  • David Abad


    (Universidad de Alicante)

  • Antonio Rubia

    (Universidad de Alicante)

Registered author(s):

    In 1998 the Fixing trading system was implemented in the Spanish Stock Market. It is considered an alternative to the traditional system of continuous negotiation, applicable to those stocks that have a series of basic characteristics in common. It represents an important innovation, the fundamental purpose of which is to reduce the volatility of stocks and thus improve their liquidity. The main motive of this study is to verify whether the improvements that the advocates of the new trading system have been predicting have actually taken place, as we believe that any innovation that is introduced into the market should be subjected to empirical evaluation. To do so, the effect that this innovation has had on the indicators of liquidity, returns and volatility of the stocks involved is examined, using parametric and nonparametric tests and employing a methodology based on the technique of the event study. We concluded that the evidence observed seems to contradict the very expectations that motivated the imposition of the new negotiating system, since a significant worsening wasobserved in liquidity and returns, whereas, on the other hand, no apparent decrease is observed in volatility. Durante 1998 se implantó en el mercado español el sistema de contratación de valores conprecios únicos en cada periodo de ajuste, más conocido como sistema de negociación fixing.Este sistema representa una fórmula alternativa al sistema tradicional de negociación continua,aplicable a aquellos valores que reúnen una serie de determinadas características. A su vez,constituye una importante innovación cuya finalidad es, fundamentalmente, reducir la volatilidadde los títulos y mejorar su liquidez. La motivación fundamental del presente trabajo consiste encontrastar si se han producido las mejoras que vaticinaban los impulsores del nuevo sistema decontratación, en la creencia de que cualquier innovación llevada a cabo en el mercado debe sersometida a evaluación. Para ello, se estudia el efecto sobre indicadores de liquidez, rendimientoy volatilidad medios de los títulos a los que esta innovación afectó, utilizando pruebasparamétricas y no paramétricas y metodología basada en la técnica del event study. Laconclusión a la que se llega en este estudio es que la evidencia observada parece ser contraria alas expectativas que motivaron la implantación del nuevo sistema de contratación, pues seobserva un empeoramiento significativo en los niveles de liquidez y rentabilidad y, en cambio, nose observa disminución aparente en el nivel de volatilidad.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    File Function: Fisrt version / Primera version, 1999
    Download Restriction: no

    Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 1999-17.

    in new window

    Length: 43 pages
    Date of creation: Dec 1999
    Publication status: Published by Ivie
    Handle: RePEc:ivi:wpasec:1999-17
    Contact details of provider: Postal:
    C/ Guardia Civil, 22, Esc 2a, 1o, E-46020 VALENCIA

    Phone: +34 96 319 00 50
    Fax: +34 96 319 00 55
    Web page:

    More information through EDIRC

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    in new window

    1. Scholes, Myron & Williams, Joseph, 1977. "Estimating betas from nonsynchronous data," Journal of Financial Economics, Elsevier, vol. 5(3), pages 309-327, December.
    2. Brennan, Michael J. & Subrahmanyam, Avanidhar, 1996. "Market microstructure and asset pricing: On the compensation for illiquidity in stock returns," Journal of Financial Economics, Elsevier, vol. 41(3), pages 441-464, July.
    3. Amihud, Yakov & Mendelson, Haim & Lauterbach, Beni, 1997. "Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange," Journal of Financial Economics, Elsevier, vol. 45(3), pages 365-390, September.
    4. Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
    5. Madhavan, Ananth, 1992. " Trading Mechanisms in Securities Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 607-641, June.
    6. Bhandari, Arvind & et al, 1989. "Risk and Return on Newly Listed Stocks: The Post-Listing Experience," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(2), pages 93-102, Summer.
    7. Shanken, Jay, 1987. " Nonsynchronous Data and the Covariance-Factor Structure of Returns," Journal of Finance, American Finance Association, vol. 42(2), pages 221-231, June.
    8. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    9. Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
    10. Hamilton, James D., 1988. "Rational-expectations econometric analysis of changes in regime : An investigation of the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 385-423.
    11. Sanger, Gary C. & McConnell, John J., 1986. "Stock Exchange Listings, Firm Value, and Security Market Efficiency: The Impact of NASDAQ," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(01), pages 1-25, March.
    12. Karafiath, Imre, 1988. "Using Dummy Variables in the Event Methodology," The Financial Review, Eastern Finance Association, vol. 23(3), pages 351-357, August.
    13. Maloney, Michael T & McCormick, Robert E, 1982. "A Positive Theory of Environmental Quality Regulation," Journal of Law and Economics, University of Chicago Press, vol. 25(1), pages 99-123, April.
    14. Kerry Cooper, S. & Groth, John C. & Avera, William E., 1985. "Liquidity, exchange listing, and common stock performance," Journal of Economics and Business, Elsevier, vol. 37(1), pages 19-33, February.
    15. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:ivi:wpasec:1999-17. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Departamento de Edición)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.