Further Evidence on Mean Reversion in Index Basis Changes
Further evidence on the stochastic behavior of the futures minus cash index basis is provided. In addition to infrequent trading, index aggregation is identified as an additional source of mean reversion in basis changes. An aggregation of individual stocks in the index portfolio produces a moving a...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2001
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/796 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |
| id |
sg-smu-ink.lkcsb_research-1795 |
|---|---|
| record_format |
dspace |
| spelling |
sg-smu-ink.lkcsb_research-17952010-09-23T06:24:04Z Further Evidence on Mean Reversion in Index Basis Changes WU, Chunchi He, Yan Further evidence on the stochastic behavior of the futures minus cash index basis is provided. In addition to infrequent trading, index aggregation is identified as an additional source of mean reversion in basis changes. An aggregation of individual stocks in the index portfolio produces a moving average component that induces a negative autocorrelation in basis changes. Empirical results show that index price and basis changes often contain a moving average component. After the effects of infrequent trading and index aggregation are purged, it is found that the autocorrelation of the adjusted index basis changes is significantly reduced. 2001-01-01T08:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/796 info:doi/10.1111/j.1540-6288.2001.tb00006.x Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Business |
| institution |
Singapore Management University |
| building |
SMU Libraries |
| continent |
Asia |
| country |
Singapore Singapore |
| content_provider |
SMU Libraries |
| collection |
InK@SMU |
| language |
English |
| topic |
Business |
| spellingShingle |
Business WU, Chunchi He, Yan Further Evidence on Mean Reversion in Index Basis Changes |
| description |
Further evidence on the stochastic behavior of the futures minus cash index basis is provided. In addition to infrequent trading, index aggregation is identified as an additional source of mean reversion in basis changes. An aggregation of individual stocks in the index portfolio produces a moving average component that induces a negative autocorrelation in basis changes. Empirical results show that index price and basis changes often contain a moving average component. After the effects of infrequent trading and index aggregation are purged, it is found that the autocorrelation of the adjusted index basis changes is significantly reduced. |
| format |
text |
| author |
WU, Chunchi He, Yan |
| author_facet |
WU, Chunchi He, Yan |
| author_sort |
WU, Chunchi |
| title |
Further Evidence on Mean Reversion in Index Basis Changes |
| title_short |
Further Evidence on Mean Reversion in Index Basis Changes |
| title_full |
Further Evidence on Mean Reversion in Index Basis Changes |
| title_fullStr |
Further Evidence on Mean Reversion in Index Basis Changes |
| title_full_unstemmed |
Further Evidence on Mean Reversion in Index Basis Changes |
| title_sort |
further evidence on mean reversion in index basis changes |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
2001 |
| url |
https://ink.library.smu.edu.sg/lkcsb_research/796 |
| _version_ |
1770569696578371584 |