A Theory of Trading in Stock Index Futures
论证股指期货市场为不知情的流动性交易者提供更优的交易媒介，因其逆向选择成本低于个股市场，解释了该类市场的巨大流动性和受欢迎程度，并探讨了对市场流动性、价格信息性及成分股价格波动的影响。
It is demonstrated that markets in stock index futures or, more generally, in baskets of securities, provide a preferred trading medium for uninformed liquidity traders who wish to trade portfolios, because adverse selection costs are typically lower in these markets than in markets for individual securities. Thus, an explanation is provided for the immense liquidity and popularity of markets in stock index futures. Implications are also developed for the effect of the introduction of a basket on market liquidity and the informativeness and variability of component security prices, and for the price relationship between the basket and its underlying portfolio. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.