IDEAS home Printed from https://ideas.repec.org/p/fth/birmif/96-01.html
   My bibliography  Save this paper

Settlement, Tax and Non-Synchronous Effects in the Basis of U.K. Stock Index Futures

Author

Listed:
  • Theobald, M.
  • Yallup, P.

Abstract

The basis in stock index futures markets is analytically and empirically studied in this paper within a no-arbitrage/cost of carry framework.

Suggested Citation

  • Theobald, M. & Yallup, P., 1996. "Settlement, Tax and Non-Synchronous Effects in the Basis of U.K. Stock Index Futures," Papers 96-01, University of Birmingham - International Financial Group.
    • Handle: RePEc:fth:birmif:96-01
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zhong, Maosen & Darrat, Ali F. & Otero, Rafael, 2004. "Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 3037-3054, December.
    2. Vipul, 2008. "Mispricing, Volume, Volatility and Open Interest," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 7(3), pages 263-292, December.
    3. James Richard Cummings & Alex Frino, 2008. "Tax Effects on the Pricing of Australian Stock Index Futures," Australian Journal of Management, Australian School of Business, vol. 33(2), pages 391-406, December.

    More about this item

    Keywords

    FINANCIAL MARKET; TAX POLICY;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fth:birmif:96-01. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thomas Krichel (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.