ROLL, RICHARD; SCHWARTZ, EDUARDO; SUBRAHMANYAM, AVANIDHAR - In: Journal of Finance 62 (2007) 5, pp. 2201-2234
Deviations from no-arbitrage relations should be related to market liquidity, because liquidity facilitates arbitrage. At the same time, a wide futures-cash basis may trigger arbitrage trades and, in turn, affect liquidity. We test these ideas by studying the dynamic relation between stock...