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Dynamic Dependence Between Liquidity and the S&P 500 Index Futures‐Cash Basis

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  • Donald Lien
  • Gerui Lim
  • Li Yang
  • Chunyang Zhou

Abstract

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Suggested Citation

  • Donald Lien & Gerui Lim & Li Yang & Chunyang Zhou, 2013. "Dynamic Dependence Between Liquidity and the S&P 500 Index Futures‐Cash Basis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(4), pages 327-342, April.
    • Handle: RePEc:wly:jfutmk:v:33:y:2013:i:4:p:327-342
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    Cited by:

    1. Joshua G. Maples & B. Wade Brorsen, 2022. "Handling the discontinuity in futures prices when time series modeling of commodity cash and futures prices," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 70(2), pages 139-152, June.
    2. Lee, Jaeram & Kang, Jangkoo & Ryu, Doojin, 2015. "Common deviation and regime-dependent dynamics in the index derivatives markets," Pacific-Basin Finance Journal, Elsevier, vol. 33(C), pages 1-22.
    3. Han, Jianlei & Pan, Zheyao, 2017. "On the relation between liquidity and the futures-cash basis: Evidence from a natural experiment," Journal of Financial Markets, Elsevier, vol. 36(C), pages 115-131.

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