This study analyzes the effects of changes in S&P 500 index composition from January 1986
through June 1994, a period during which Standard and Poor's began its practice of …

Mean reversion in stock index basis changes has been presumed to be driven by the trading
activity of stock index arbitragers. We propose here instead that the observed negative …

We study liquidity effects following S&P 500 index revisions. Using a recent sample of S&P
500 additions, we find a sustained increase in the liquidity of the added stocks. Further, the …

The temporal relationship between the price of stock index futures contracts and the
underlying cash market has attracted the attention of academics, practitioners, and …

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 …

A random cash/futures basis is derived in a dynamic multimarket learning game with
sequential information shocks and strategic arbitrageurs who trade to exploit gaps in the …

We provide empirical evidence that deviations from the uncovered interest rate parity (UIP)
condition display significant nonlinearities, consistent with theories based on transactions …

The global value of trading in index futures is about $20 trillion per year and rising and for
many countries the value traded is similar to that traded on their stock markets. This book …

An important economic function of futures markets is to facilitate the process of price
discovery. Empirical research has therefore been directed toward examining various …

We use a cost of carry model with nonzero transaction costs to motivate estimation of a
nonlinear dynamic relationship between the S&P 500 futures and cash indexes …