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Basis and the Choice Between Futures and Cash

✍ 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

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πŸ“œ SIMILAR VOLUMES


Commonality in trading activity and futu
✍ Hsiu-Chuan Lee; Cheng-Yi Chien; Tzu-Hsiang Liao πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 277 KB πŸ‘ 1 views

## 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 futures‐cash basis. The empirical results provide evidence of commonality

Impact of Liquidity on the Futures-Cash
✍ PALANI-RAJAN KADAPAKKAM; UMESH KUMAR πŸ“‚ Article πŸ“… 2012 πŸ› John Wiley and Sons 🌐 English βš– 797 KB

Arbitragers’ 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 futures‐cash basis and bid–ask spreads using intraday data on single stock futures (SSFs) contr