Settlement, Tax and Non-Synchronous Effects in the Basis of U.K. Stock Index Futures

M. Theobald and P. Yallup

Working Papers from University of Birmingham - International Financial Group

Abstract: The basis in stock index futures markets is analytically and empirically studied in this paper within a no-arbitrage/cost of carry framework.

Keywords: FINANCIAL MARKET; TAX POLICY (search for similar items in EconPapers)
JEL-codes: G13 G14 (search for similar items in EconPapers)
Pages: 33 pages
Date: 1996
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:fth:birmif:96-01

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