The impact of liquidity constraints on the cash-futures basis dynamics: Evidence from the Chinese market
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DOI: 10.1016/j.econmod.2019.02.001
Abstract: Abstract This study investigates the impact of liquidity constraints on the dynamics of the cash-futures basis in the Chinese futures market. By analyzing the trading behaviors of hedgers, speculators, and arbitrageurs in a liquidity constraint… read more here.
Keywords: cash futures; basis; impact liquidity; liquidity ... See more keywords