Impact of Liquidity on the Futures-Cash
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PALANI-RAJAN KADAPAKKAM; UMESH KUMAR
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Article
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2012
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John Wiley and Sons
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English
β 797 KB
Arbitragersβ 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 futuresβcash basis and bidβask spreads using intraday data on single stock futures (SSFs) contr