Contract modifications and the basis behavior of live cattle futures

被引：2
|
作者：
Newsome, JE
Wang, GHK
Boyd, ME
Fuller, MJ
机构：
[1] US Commod Futures Trading Commiss, Washington, DC 20581 USA
[2] George Mason Univ, Sch Management, Fairfax, VA 22030 USA
[3] Mississippi State Univ, Mississippi State, MS 39762 USA
来源：
JOURNAL OF FUTURES MARKETS | 2004年 / 24卷 / 06期
关键词：
D O I：
10.1002/fut.10128
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The purpose of this study was to assess the basis behavior of the Live Cattle Futures contract at the Chicago Mercantile Exchange (CME) before and after the 1995 contract changes. Additionally, an alternative method of basis calculation utilizing weighted mean futures prices versus settlement futures prices was compared to determine which method provides a better representation of the basis level.
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页码：557 / 590
页数：34
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