STOCK VOLATILITY AND THE LEVELS OF THE BASIS AND OPEN INTEREST IN FUTURES CONTRACTS

被引：42

作者：

CHEN, NF ^{[1
]}

CUNY, CJ ^{[1
]}

HAUGEN, RA ^{[1
]}

机构：

[1] HONG KONG UNIV SCI & TECHNOL,KOWLOON,HONG KONG

来源：

JOURNAL OF FINANCE | 1995年 / 50卷 / 01期

关键词：

D O I：

10.1111/j.1540-6261.1995.tb05174.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

收藏

页码：281 / 300

页数：20

相关论文

共 20 条

[1] FUTURES-TRADING ACTIVITY AND STOCK-PRICE VOLATILITY [J].

BESSEMBINDER, H ;

SEGUIN, PJ .

JOURNAL OF FINANCE, 1992, 47 (05) :2015-2034

[2] PRICING OF COMMODITY CONTRACTS [J].

BLACK, F .

JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) :167-179

[3] ARBITRAGE IN STOCK INDEX FUTURES [J].

BRENNAN, MJ ;

SCHWARTZ, ES .

JOURNAL OF BUSINESS, 1990, 63 (01) :S7-S31

[4] INTRADAY VOLATILITY IN THE STOCK INDEX AND STOCK INDEX FUTURES MARKETS [J].

CHAN, K ;

CHAN, KC ;

KAROLYI, GA .

REVIEW OF FINANCIAL STUDIES, 1991, 4 (04) :657-684

[5] A FURTHER ANALYSIS OF THE LEAD-LAG RELATIONSHIP BETWEEN THE CASH MARKET AND STOCK INDEX FUTURES MARKET [J].

CHAN, KL .

REVIEW OF FINANCIAL STUDIES, 1992, 5 (01) :123-152

[6] TAXES AND THE PRICING OF STOCK INDEX FUTURES [J].

CORNELL, B ;

FRENCH, KR .

JOURNAL OF FINANCE, 1983, 38 (03) :675-694

[7] FORWARD AND FUTURES PRICES - EVIDENCE FROM THE FOREIGN-EXCHANGE MARKETS [J].

CORNELL, B ;

REINGANUM, MR .

JOURNAL OF FINANCE, 1981, 36 (05) :1035-1045

[8] THE RELATION BETWEEN FORWARD PRICES AND FUTURES PRICES [J].

COX, JC ;

INGERSOLL, JE ;

ROSS, SA .

JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (04) :321-346

[9] HEDGING PERFORMANCE AND BASIS RISK IN STOCK INDEX FUTURES [J].

FIGLEWSKI, S .

JOURNAL OF FINANCE, 1984, 39 (03) :657-669

[10] EXPECTED STOCK RETURNS AND VOLATILITY [J].

FRENCH, KR ;

SCHWERT, GW ;

STAMBAUGH, RF .

JOURNAL OF FINANCIAL ECONOMICS, 1987, 19 (01) :3-29