Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price

• 成果类型: Article
• 署名作者: Hazelkorn, Todd M. M.; Moskowitz, Tobias J. J.; Vasudevan, Kaushik
• 署名单位: Yale University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13198
• 发表日期: 2023
• 页码: 301-345
• 关键词: stock; RISK; explanation; volatility; arbitrage; BEHAVIOR

摘要

Deviations from the law of one price between futures and spot prices-the futures-cash basis-capture information about liquidity demand for equity market exposure in global markets. We show that the basis comoves with dealer and investor futures positions, is contemporaneously positively correlated with futures and spot market returns, and negatively predicts futures and spot returns. These findings are consistent with the futures-cash basis reflecting liquidity demand that is common to futures and cash equity markets. We find persistent supply-demand imbalances for equity index exposure reflected in the basis, giving rise to an annual premium of 5% to 6%.