Stock Volatility and the Levels of the Basis and Open Interest in Futures Contracts

This paper tests a theoretical model of the basis and open interest of stock index futures. The model is based on the differences between stock and futures in terms of investors' ability to customize stock portfolios and liquidity. Empirical evidence confirms the model's prediction that increased volatility decreases the basis and increases open interest

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Year of publication:	[2000]
Authors:	Chen, Nai-fu
Other Persons:	Cuny, Charles J. (contributor) ; Haugen, Robert A. (contributor)
Publisher:	[2000]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: JOURNAL OF FINANCE, Vol 50 No 1, March 1995 Volltext nicht verfügbar
Classification:	G1 - General Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012789224