Stock Volatility and the Levels of the Basis and Open Interest in Futures Contracts

Posted: 10 May 2000

See all articles by Nai-fu Chen

Nai-fu Chen

University of California, Irvine - Finance Area

Charles J. Cuny

affiliation not provided to SSRN

Robert A. Haugen

Haugen Custom Financial Systems

Abstract

This paper tests a theoretical model of the basis and open interest of stock index futures. The model is based on the differences between stock and futures in terms of investors' ability to customize stock portfolios and liquidity. Empirical evidence confirms the model's prediction that increased volatility decreases the basis and increases open interest.

JEL Classification: G1

Suggested Citation

Chen, Nai-Fu and Cuny, Charles John and Haugen, Robert A., Stock Volatility and the Levels of the Basis and Open Interest in Futures Contracts. Available at SSRN: https://ssrn.com/abstract=6108

Nai-Fu Chen

University of California, Irvine - Finance Area ( email )

Irvine, CA 92697-3125
United States

Charles John Cuny (Contact Author)

affiliation not provided to SSRN

Robert A. Haugen

Haugen Custom Financial Systems ( email )

128 W. 14th Street
Suite 201
Durango, CO 81301
United States
(970) 259-9512 (Phone)

HOME PAGE: http://www.haugensystems.com

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
1,577
PlumX Metrics