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| Tekijä: | Beaulieu, M-C. |
| Otsikko: | Time to maturity in the basis of stock market indices: Evidence from the S&P 500 and the MMI |
| Lehti: | Journal of Empirical Finance
1998 : SEP, VOL. 5:3, p. 177-195 |
| Asiasana: | Stock markets Risk Forecasting |
| Vapaa asiasana: | Stock market index |
| Kieli: | eng |
| Tiivistelmä: | The paper focuses on behaviour of the basis in stock market index futures contracts over the lifetime of futures contracts. The model of the paper relaxes the cost of carry model assumptions of constant interest rate and known dividend yield over the lifetime of futures contracts. This allows for a test of the presence of time to maturity in the conditional variance of the model using GARCH. The empirical evidence reveals that, consistent with Samuelson's (1995) analysis, time to maturity is a determinant of the conditional variance of the basis. Furthermore, it implies that time to maturity cannot be accounted for by transaction costs or cost of carry. |
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