Stock Volatility and the Levels of the Basis and Open Interest in Future Contracts.

This article 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. Copyright 1995 by American Finance Association.

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Year of publication:	1995
Authors:	Chen, Nai-Fu ; Cuny, Charles J ; Haugen, Robert A
Published in:	Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 50.1995, 1, p. 281-300
Publisher:	American Finance Association - AFA

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005214234