The Spanish stock market: BME Growth versus the IBEX
DOI:
https://doi.org/10.32826/reyf.v2i6.375Keywords:
Ibex-35, BME Growth, Causality, Prediction, CorrelationAbstract
This paper analyses the Granger causal relationship between the Ibex family indices (Ibex 35, Ibex Medium Cap and Ibex Small Cap), and the BME Growth 15 index for expanding companies. The results suggest the existence of a unidirectional Granger causality relationship from the Ibex35 and Ibex Medium Cap indices to the BME Growth 15 index and a bidirectional Granger causality relationship between the Ibex Small Cap and BME Growth 15. Therefore, we conclude that the Ibex35 and Ibex Medium Cap indices contain useful information that is not present in the BME Growth 15 index, which may help explain the latter's short-term evolution, and that there exist feedback mechanisms between the Ibex Small Cap and BME indices Growth 15.
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