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Beyond Basis Basics : Liquidity Demand and Deviations from the Law of One Price
Deviations from the law of one price between futures and spot prices—the futures-cash basis—capture information about liquidity demand for equity market exposure in global markets. We show that the basis comoves with dealer and investor futures positions, is contemporaneously positively correlated with futures and spot market returns, and negatively predicts futures and spot returns. These findings are consistent with the futures-cash basis reflecting liquidity demand that is common to futures and cash equity markets. We find persistent supply-demand imbalances for equity index exposure reflected in the basis, giving rise to an annual premium of 5% to 6%.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.dasar - Pascasarjana (Koleksi Majalah) | 1 |
| Penerbit | USA: The American Finance Association 2023 |
|---|---|
| Edisi | Volume 78, Issue 1, February 2023, Pages 301-345 |
| Subjek | Futures deviations Liquidity Demand Cash Equity Markets |
| ISBN/ISSN | 1540-6261 |
| Klasifikasi | NONE |
| Deskripsi Fisik | First Published : 12 December 2022 |
| Info Detail Spesifik | The Journal of Finance |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |