Settlement, Tax and Non-Synchronous Effects in the Basis of U.K. Stock Index Futures.

The basis in stock index futures markets is analytically and empirically studied in this paper within a no-arbitrage/cost of carry framework.

Year of publication:	1996
Authors:	Theobald, M. ; Yallup, P.
Institutions:	University of Birmingham - International Financial Group
Subject:	FINANCIAL MARKET \| TAX POLICY

Series:	University of Birmingham - International Financial Group.
Type of publication:	Book / Working Paper
Notes:	33 pages
Classification:	G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005780214