Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis
研究股票市场流动性与股指期货基差之间的动态关系，发现两者存在双向格兰杰因果关系，且流动性冲击可预测未来市场流动性，表明流动性有助于提升期货现货定价效率。
ABSTRACT Deviations from no‐arbitrage relations should be related to market liquidity, because liquidity facilitates arbitrage. At the same time, a wide futures‐cash basis may trigger arbitrage trades and, in turn, affect liquidity. We test these ideas by studying the dynamic relation between stock market liquidity and the index futures basis. There is evidence of two‐way Granger causality between the short‐term absolute basis and liquidity, and liquidity Granger‐causes longer‐term absolute bases. Shocks to the absolute basis predict future stock market liquidity. The evidence suggests that liquidity enhances the efficiency of the futures‐cash pricing system.