In this paper we analyse the dynamic relationship between Ibex 35 futures and cash market prices. Two innovations are introduced: i) mid bidask point is used instead of traded prices and ii) cost-of-carry is introduced in the cointegrating equation between cash and futures prices. We find evidence of bidirectional causality. Similarly, and following the majority line in the literature, we confirm that the causal relationship from futures to cash is stronger than in the other direction. However, this asymmetry is less significant when the two aforementioned innovations are introduced.

Key words: index futures, causal relationships, cointegration.
JEL classification: G12, G14.