๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Cash-and-carry trading and the pricing of treasury bill futures

โœ Scribed by Ira G. Kawaller; Timothy W. Koch


Publisher
John Wiley and Sons
Year
1984
Tongue
English
Weight
534 KB
Volume
4
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Cash-futures arbitrage and forward-futur
โœ Linda Allen; Thom Thurston ๐Ÿ“‚ Article ๐Ÿ“… 1988 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 590 KB

ersistent discrepancies between implied forward rates on the yield curve P and corresponding futures rates have been widely observed. For instance, in one of our samples, eight week-ahead forward-future spreads averaged nearly 70 discount basis points before 1982 and have since averaged about 30 bas

Cash trading and index futures price vol
โœ Jinliang Li ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 169 KB ๐Ÿ‘ 1 views

The author wishes to thank Robert I. Webb (the editor) and an anonymous referee for very helpful comments, as well as Charles Bartlett from SIFMA for providing part of the data. Financial support from Citi Foundation is gratefully acknowledged.

The relative efficiency of the gold and
โœ Margaret A. Monroe; Richard A. Cohn ๐Ÿ“‚ Article ๐Ÿ“… 1986 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 989 KB

his article examines the pricing efficiency of the gold futures market relative T to the Treasury bill futures market. Futures contracts for gold, a relative newcomer, have only been traded since 1975. T-bill futures contracts, also a relative newcomer, have been traded on organized exchanges since

Trading costs and price discovery across
โœ Kim, Minho; Szakmary, Andrew C.; Schwarz, Thomas V. ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 267 KB ๐Ÿ‘ 2 views

The focus of this article is to test the trading cost hypothesis of price leadership, which predicts that the market with the lowest overall trading costs will react most quickly to new information. In an attempt to hold market microstructure effects constant and in contrast to previous studies, we

Does the treasury bond futures market de
โœ Gary A. Bortz ๐Ÿ“‚ Article ๐Ÿ“… 1984 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 846 KB

## Futures Market Destabilize the Treasury Bond Cash Market? Gary A. Bortz I. INTRODUCTION everal market professionals and economists have suggested that financial fu-S tures markets may be contributing to the volatility of interest rates. The most prevalent argument is that futures markets are i

On the informational role of treasury bi
โœ Shantaram P. Hegde; Bill McDonald ๐Ÿ“‚ Article ๐Ÿ“… 1986 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 854 KB

I1 to 1983-111 both the future contract and the implied forward rate provide better forecasts of the future spot rate on a thirteen week T-bill than the Martingale forecast for up to four weeks prior to delivery of the futures contract. Further, the futures forecast outperforms the forward forecast