The author wishes to thank Robert I. Webb (the editor) and an anonymous referee for very helpful comments, as well as Charles Bartlett from SIFMA for providing part of the data. Financial support from Citi Foundation is gratefully acknowledged.
Cash trading and index futures price volatility†
Article first published online: 20 JUL 2010
© 2010 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 31, Issue 5, pages 465–486, May 2011
How to Cite
Li, J. (2011), Cash trading and index futures price volatility. J. Fut. Mark., 31: 465–486. doi: 10.1002/fut.20478
- Issue published online: 1 MAR 2011
- Article first published online: 20 JUL 2010
- Manuscript Accepted: JUN 2010
- Manuscript Received: JUL 2009
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