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- Liquidez Y Market Makers En El Mercado De Futuros: Un Análisis Con Datos De Muy Alta Frecuencia

Author

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  • José García-Montalvo

    (Instituto Valenciano de Investigaciones Económicas)

Abstract

This paper analyzes the dynamic behavior of price changes in the Spanish futures market and its determinants using data on transactions observed during several days. The econometrictechnique is the ordered probit, which allows the accommodation of the main characteristics of the data: price changes are quoted in increments of a minimum and transactions are irregularly spaced in time. The estimates are used to measure the liquidity of the market and the effect of the introduction of market makers on liquidity. Este trabajo analiza la dinámica de los cambios de precios en el mercado de futuros español y sus factores determinantes utilizando datos de transacciones para varios días de negociación. La técnica econométrica utilizada es un probit ordenado que permite acomodar los principales características de dichos datos: cambios en múltiplos de un mínimo e intervalos irregulares de tiempo entre transacciones. Los resultados de la estimación se utilizan para medir la liquidez del mercado y el efecto de la introducción de market makers sobre dicha medida de liquidez.

Suggested Citation

  • José García-Montalvo, 1998. "- Liquidez Y Market Makers En El Mercado De Futuros: Un Análisis Con Datos De Muy Alta Frecuencia," Working Papers. Serie EC 1998-16, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    • Handle: RePEc:ivi:wpasec:1998-16
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    File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-1998-16.pdf
    File Function: Fisrt version / Primera version, 1998
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