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Cash-futures basis and the impact of market maturity, informed trading, and expiration effects

✍ Scribed by Chang, Charles; Lin, Emily

Book ID
126700875
Publisher
Elsevier Science
Year
2015
Tongue
English
Weight
624 KB
Volume
35
Category
Article
ISSN
1059-0560

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## 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