| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26773 |
| 来源ID | Working Paper 26773 |
| Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price | |
| Todd M. Hazelkorn; Tobias J. Moskowitz; Kaushik Vasudevan | |
| 发表日期 | 2020-02-24 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We argue that deviations from the law of one price between futures and spot prices, known as bases, capture important information about liquidity demand for equity market exposure in global equity index futures markets. We show that bases (1) co-move with dealer and investor futures positions, (2) are contemporaneously positively correlated with spot and futures markets with the same sign, and (3) negatively predict futures and spot market returns with the same sign. These findings are uniquely consistent with our liquidity demand model and distinct from other explanations for bases, such as arbitrage opportunities or intermediary balance sheet costs. We show persistent supply-demand imbalances for equity index exposure reflected in bases, where compensation for meeting liquidity demand for that exposure is large (5-6% annual premium). |
| 主题 | International Economics ; International Finance ; Globalization and International Relations ; Financial Economics ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w26773 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/584447 |
| 推荐引用方式 GB/T 7714 | Todd M. Hazelkorn,Tobias J. Moskowitz,Kaushik Vasudevan. Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price. 2020. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w26773.pdf（1117KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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