Anomalies in the Mexican Interest Rate Futures Market

25 Pages Posted: 2 Jan 2007

See all articles by Pedro Gurrola-Perez

Pedro Gurrola-Perez

World Federation of Exchanges

Renata Herrerias

Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration

Date Written: March 2, 2007

Abstract

The growing importance of the Mexican TIIE-futures, which are amongst the most actively traded derivatives contracts worldwide, motivates the examination of their behavior. In particular, this study addresses the question of two sources of nonstationarity, day-of-the-week effects and abnormal behavior at expiration days. The analysis is done in the context of GARCH models using 36 rollover series for contracts expiring from 3 weeks to 35 months ahead. Evidence shows the presence of a weekend effect where rate changes tend to be positive on Mondays and negative on Fridays, together with higher volatility at expiration dates in short-term contracts.

Keywords: Interest rate futures, day-of-the-week effects, trading patterns

JEL Classification: G13, G15

Suggested Citation

Gurrola Perez, Pedro and Herrerias, Renata, Anomalies in the Mexican Interest Rate Futures Market (March 2, 2007). Available at SSRN: https://ssrn.com/abstract=954602 or http://dx.doi.org/10.2139/ssrn.954602

Pedro Gurrola Perez (Contact Author)

World Federation of Exchanges ( email )

125 Old Broad Street
London, EC2N 1AR
United Kingdom
EC2N 1AR (Fax)

HOME PAGE: http://www.world-exchanges.org

Renata Herrerias

Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration ( email )

Rio Hondo No. 1
Progreso Tizapan
Mexico, D.F. 01080
Mexico
+52(55)56284000 x. 6539 (Phone)

HOME PAGE: http://departamentodeadministracion.itam.mx/es

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