Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price
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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)
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美国国家经济研究局创建时间：
2020-02-01
