Basis and the Choice Between Futures and Cash
β Scribed by Koenigsberg, Mark; Bqurtzos, Yiorgos
- Book ID
- 111983452
- Publisher
- Institutional Investor
- Year
- 1992
- Tongue
- English
- Weight
- 732 KB
- Volume
- 2
- Category
- Article
- ISSN
- 1059-8596
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract This study examines commonality in trading activity by various types of institutional investors across futures and stock markets, and the dynamic relationship between the common factors in trading activity and the futuresβcash basis. The empirical results provide evidence of commonality
Arbitragersβ activities are constrained by market liquidity. In turn, arbitrage activity may trigger order imbalances adversely affecting liquidity. We examine this issue by analyzing the link between the futuresβcash basis and bidβask spreads using intraday data on single stock futures (SSFs) contr