The Effects of Commodity and Market Characteristics on Futures Basis Variability

A cross commodity approach including storable and nonstorables was used to analyze the basis at constant periods from contract maturity. Various commodity and market characteristics that increase arbitrage potential were found to be significant in decreasing variability in the basis residual, thereby reducing basis risk.


Issue Date:
Jul 30 1989
Publication Type:
Conference Paper/ Presentation
Record Identifier:
http://ageconsearch.umn.edu/record/270515
Language:
English
Total Pages:
14




 Record created 2018-04-03, last modified 2018-04-03

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