Stock Volatility and the Levels of the Basis and Open Interest in Futures Contracts
检验了关于股票指数期货基差和持仓量的理论模型，发现波动性增加会降低基差并提高持仓量，对理解期货市场动态有帮助。
ABSTRACT This article 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.