Relationship between share index volatility, basis and open interest in futures contracts: The South African experience
In a rational efficiently functioning market, the price of the share index and share index futures contracts should be perfectly contemporaneously correlated. However, in practice the cost of carry model is obscured as the basis varies and is normally not equal to the cost of carry. This study uses...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AOSIS
2003-09-01
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| Series: | South African Journal of Business Management |
| Online Access: | https://sajbm.org/index.php/sajbm/article/view/686 |