NATIONAL SECURITIES MARKETS IMPROVEMENT ACT OF 1996
NATIONAL SECURITIES MARKETS IMPROVEMENT ACT OF 1996
This paper contributes to the literature on modeling the behavior of the futures basis on several fronts. 2 Specifically, the paper investi- gates nonlinearities in basis adjustment toward its equilibrium value and proposes a novel approach to modeling the behavior of the basis inspired by the prediction of the theoretical arguments mentioned above. Using data for the S&P 500 and the FTSE 100 indices during the post-crash period since 1988, the authors provide strong evidence of nonlinear mean r