Stock Volatility and the Levels of the Basis and Open Interest in Futures Contracts
检验了一个关于股指期货基差和未平仓量的理论模型，该模型基于股票与期货在投资者定制股票组合能力和流动性上的差异。实证证据证实了模型的预测：波动性增加会降低基差并增加未平仓量。
This paper 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.