Using intraday transaction data on a 1-minute interval and adjusting for transaction cost, this study finds that arbitrage opportunities are not as prevailing as indicated by previous studies. The futures and spot prices are found to be contemporaneously correlated. However, no significant lead-lag relationship is detected. The basis is found to be highly autocorrelated. Copyright © 1992 Chicago Board of Trade.
|Journal||Review of Futures Markets|
|Publication status||Published - 1992|