The basis in stock index futures markets is analytically and empirically studied in this paper within a no-arbitrage/cost of carry framework. Explanatory power improved when the implications of the U.K. Stock Exchange settlement system were introduced into the modelling process and, until recently, with the maturity of the market. Evidence indicating the presence of non-synchronicities between the cash and futures markets was found. strong evidence for tax effects upon the basis was not found to be present in the data analysed. Statistically significant relationships between basis mispricing and volume and volatility were found.