Settlement, Tax and Non-Synchronous Effects in the Basis of U.K. Stock Index Futures
AbstractThe basis in stock index futures markets is analytically and empirically studied in this paper within a no-arbitrage/cost of carry framework.
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Bibliographic InfoPaper provided by University of Birmingham - International Financial Group in its series Papers with number 96-01.
Length: 33 pages
Date of creation: 1996
Date of revision:
Contact details of provider:
Postal: The University of Birmingham; International Financial Group, Birmingham B15 2T T, United Kingdom.
FINANCIAL MARKET; TAX POLICY;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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