This dissertation studies the effects of the introduction of futures market in Mexico in the spot price and the efficiency with the introduction of the electronic trading system. Mexican derivatives market (MEXDER) started operations in 1998 and has been showing an important growing. This research is based in the methodology followed in studies elaborated in Italy and United Kingdom. In the first part I analyzed the impact on the spot price of stock index price quotations (IPC), with the introduction of futures contract on this underlying. As is used in this kind of investigations, I reviewed the performance of volatility after and before the introduction of futures. The results showed that the volatility of IPC diminishes before introduction of the future, but it was not possible to conclude that was caused by the future contract. Further investigation is required given important changes occurred at the same time, for example and may be the reason is the introduction of the electronic trading system in 1999. For the second part, I tested the efficiency of three futures contracts: stock price index (IPC), short term interest rate (TIIE28) and dollar foreign exchange rate (DEUA). Three methods where used in order to robustness, the Augmented Dickey Fuller (ADF) unit root test, the KPSS test, and Variance-Ratio test. The results suggested that three contracts are efficient in a weak form and the introduction of electronic trading system improved the efficiency in the interest future contract.