The authors are grateful for helpful comments and suggestions by an anonymous referee, the editor, Bob Webb, and participants at the 2009 FMA Meetings. Li Yang gratefully acknowledges the financial support of the Australian School of Business at University of New South Wales. Chunyang Zhou would like to acknowledge NSFC funding support (no. 71001071).
Dynamic Dependence Between Liquidity and the S&P 500 Index Futures-Cash Basis
Article first published online: 27 APR 2012
© 2012 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 33, Issue 4, pages 327–342, April 2013
How to Cite
Lien, D., Lim, G., Yang, L. and Zhou, C. (2013), Dynamic Dependence Between Liquidity and the S&P 500 Index Futures-Cash Basis. J. Fut. Mark., 33: 327–342. doi: 10.1002/fut.21554
- Issue published online: 7 JAN 2013
- Article first published online: 27 APR 2012
- Manuscript Accepted: 3 JAN 2012
- Manuscript Received: 24 MAR 2010
- University of New South Wales
- NSFC. Grant Number: 71001071
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