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Settlement, Tax and Non-Synchronous Effects in the Basis of U.K. Stock Index Futures

Author

Listed:
  • Theobald, M.
  • Yallup, P.

Abstract

The basis in stock index futures markets is analytically and empirically studied in this paper within a no-arbitrage/cost of carry framework.

Suggested Citation

  • Theobald, M. & Yallup, P., 1996. "Settlement, Tax and Non-Synchronous Effects in the Basis of U.K. Stock Index Futures," Papers 96-01, University of Birmingham - International Financial Group.
  • Handle: RePEc:fth:birmif:96-01
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    Citations

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    Cited by:

    1. Zhong, Maosen & Darrat, Ali F. & Otero, Rafael, 2004. "Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 3037-3054, December.
    2. Vipul, 2008. "Mispricing, Volume, Volatility and Open Interest," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 7(3), pages 263-292, December.
    3. James Richard Cummings & Alex Frino, 2008. "Tax Effects on the Pricing of Australian Stock Index Futures," Australian Journal of Management, Australian School of Business, vol. 33(2), pages 391-406, December.

    More about this item

    Keywords

    FINANCIAL MARKET; TAX POLICY;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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