The Journal of Finance

The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.

AFA members can log in to view full-text articles below.

View past issues


Search the Journal of Finance:






Search results: 1.

Stock Volatility and the Levels of the Basis and Open Interest in Futures Contracts

Published: 03/01/1995   |   DOI: 10.1111/j.1540-6261.1995.tb05174.x

NAI‐FU CHEN, CHARLES J. CUNY, ROBERT A. HAUGEN

This article tests a theoretical model of the basis and open interest of stock index futures. The model is based on the differences between stock and futures in terms of investors' ability to customize stock portfolios and liquidity. Empirical evidence confirms the model's prediction that increased volatility decreases the basis and increases open interest.