Tornero, Ángel Pardo; Diranzo, Francisco José Climent - Instituto Valenciano de Investigaciones Económicas (IVIE) - 1996
This working paper researches the intertemporal relationship between the Ibex-35 index and Ibex-35 index futures, using sampling intervals of 1, 5 and 15 minutes. The primary objective is to determine whether movements in the futures lead subsequent movements in the index or vice versa. Next, we...