Liquidity and the law of one price: The case of the futures-cash basis

被引：104
作者：
Roll, Richard
Schwartz, Eduardo
Subrahmanyam, Avanidhar
机构：
[1] Anderson Graduate School of Management, University of California
来源：
JOURNAL OF FINANCE | 2007年 / 62卷 / 05期
关键词：
D O I：
10.1111/j.1540-6261.2007.01273.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Deviations from no-arbitrage relations should be related to market liquidity, because liquidity facilitates arbitrage. At the same time, a wide futures-cash basis may trigger arbitrage trades and, in turn, affect liquidity. We test these ideas by studying the dynamic relation between stock market liquidity and the index futures basis. There is evidence of two-way Granger causality between the short-term absolute basis and liquidity, and liquidity Granger-causes longer-term absolute bases. Shocks to the absolute basis predict future stock market liquidity. The evidence suggests that liquidity enhances the efficiency of the futures-cash pricing system. © 2007 by The American Finance Association.
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收藏
页码：2201 / 2234
页数：34
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