Chang, Charles; Lin, Emily - In: Review of Pacific Basin Financial Markets and Policies … 17 (2014) 01, pp. 1450002-1
This paper investigates basis spreads on index futures listed on the Taiwan Futures Exchange. We analyze the role of speculators and of informed trading in Taiwan's futures market using intraday data during the five-day pre-expiration period. We demonstrate that liquidity, volatility, and...