Commonality in trading activity and futu
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Hsiu-Chuan Lee; Cheng-Yi Chien; Tzu-Hsiang Liao
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Article
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2011
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John Wiley and Sons
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English
β 277 KB
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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 futuresβcash basis. The empirical results provide evidence of commonality