Pattarin, Francesco; Ferretti, Riccardo - In: Applied Financial Economics 14 (2004) 18, pp. 1281-1289
The interactions between the Mib30 stock market index and its future contract are examined. Using daily data for the 1994-2002 period, it is found that the cost-of-carry model holds as an equilibrium relationship between spot and futures prices. Deviations from equilibrium are corrected by...