The Effects of Commodity and Market Characteristics on Futures Basis Variability
Monson, S. J.
1989

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Abstract

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.

Details

Title The Effects of Commodity and Market Characteristics on Futures Basis Variability
Author(s) Monson, S. J.
Subject(s)
Issue Date Jul 30 1989
Publication Type Conference Paper/ Presentation
DOI and Other Identifiers 10.22004/ag.econ.270515
Record Identifier https://ageconsearch.umn.edu/record/270515
Language English
Total Pages 14
Record Appears in Agricultural and Applied Economics Association (AAEA) > Agricultural and Applied Economics Association (AAEA) Conferences > 1989 Annual Meeting, July 30-August 2, Baton Rouge, Louisiana

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