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Dynamic Dependence Between Liquidity and the S&P 500 Index Futures-Cash Basis

✍ Scribed by DONALD LIEN; GERUI LIM; LI YANG; CHUNYANG ZHOU

Book ID
112095560
Publisher
John Wiley and Sons
Year
2012
Tongue
English
Weight
684 KB
Volume
33
Category
Article
ISSN
0270-7314

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πŸ“œ SIMILAR VOLUMES

Volatility, volume, and the notion of ba
Volatility, volume, and the notion of balance in the S&P 500 cash and futures markets
✍ Sharon Brown-Hruska; Gregory Kuserk πŸ“‚ Article πŸ“… 1995 πŸ› John Wiley and Sons 🌐 English βš– 689 KB

for their comments and contributions to this research. The views expressed here are those of the authors and do not necessarily reflect those of the Commodity Futures Trading Commission or its staff. 'Slrategic Assessment (1990), p. 25.

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Intraday patterns in the S&P 500 index futures market
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The detailed descriptions of intraday volatility and other variables may also contribute to the continuing public discussion on stock index futures. ## PREVIOUSLY OBSERVED PATTERNS The U-shaped intraday pattern in stock returns and returns variance are first documented by Wood, Mclnish, and Ord(1

The limits to stock index arbitrage: Exa
The limits to stock index arbitrage: Examining S&P 500 futures and SPDRS
✍ Nivine Richie; Robert T. Daigler; Kimberly C. Gleason πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 155 KB πŸ‘ 1 views

## Abstract This study examines factors affecting stock index spot versus futures pricing and arbitrage opportunities by using the S&P 500 cash index and the S&P 500 Standard and Poor's Depository Receipt (SPDR) Exchange‐Traded Fund (ETF) as β€œunderlying cash assets.” Potential limits to arbitrage w