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 informed trading are each significantly positively related to spread magnitude …

Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one … price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the … arbitrage and liquidity influence each other in the world’s largest platinum futures markets on exchanges in New York and Tokyo …

We present a model for developing hedging strategies using both futures and forward contracts and issuing risky debt. A … financially constrained firm with limited cash balance must hedge its liquidity with both futures and forward contracts and issue … contracts into hedging and increase its value higher than that when hedging with only futures contracts. We show numerically …

firms as using futures contracts to arbitrage, to minimize transaction costs, to substitute temporarily for merchandising …