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The Determinants of Cash-futures Basis and the Role of Speculators in an EmergingMarket Motivated by asymmetric effects in the finance literature,this study modifies the probability of informed trading model proposed by Easley,Kiefer,O’Hara,and Paperman (1996) to investigate the dynamic cash-futures basis of index futures listed on the Taiwan Futures Exchange.It analyzes the role of speculators and of informed trading in Taiwan’s futures marketusing intraday data during the five-day pre-expiration period.In addition,it demonstrates that liquidity,volatility,and informed trading are each significantly positively related to spread magnitude,indicating that speculators may dominate arbitrageurs.While spreads have narrowed as the market has matured,liquidity and informed trading continue to widen spreads despite the fact that a na?ve arbitrage strategy outperforms the market.