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...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2001
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/796 |
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| Institution: | Singapore Management University |
| Language: | English |