Commonality in Liquidity across Options and Stock Futures Markets

Bouchra Benzennou; Owain ap Gwilym; Gwion Williams

doi:10.1016/j.frl.2019.01.008

Commonality in Liquidity across Options and Stock Futures Markets

Bouchra Benzennou
, Owain ap Gwilym
, Gwion Williams

Ysgol Busnes Albert Gubay

Coventry University, UK

Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid

353 Wedi eu Llwytho i Lawr (Pure)

Crynodeb

This study investigates the existence of common factors driving liquidity across different markets during a crisis period. The evidence suggests that liquidity across different European options and stock futures markets co-moves. This implies the existence of limits to the potential for liquidity risk management via options and stock futures because both markets experience simultaneous liquidity shocks. These findings are relevant to investors when timing their hedging, speculation, or arbitrage strategies.

Iaith wreiddiol	Saesneg
Rhif yr erthygl	101096
Cyfnodolyn	Finance Research Letters
Cyfrol	32
Dyddiad ar-lein cynnar	28 Ion 2019
Dynodwyr Gwrthrych Digidol (DOIs)	https://doi.org/10.1016/j.frl.2019.01.008
Statws	Cyhoeddwyd - Ion 2020

Mynediad at Ddogfen

10.1016/j.frl.2019.01.008

2019 CommonalityLlawysgrif awdur wedi’i dderbyn, 571 KBTrwydded: CC BY-NC-ND

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title = "Commonality in Liquidity across Options and Stock Futures Markets",

abstract = "This study investigates the existence of common factors driving liquidity across different markets during a crisis period. The evidence suggests that liquidity across different European options and stock futures markets co-moves. This implies the existence of limits to the potential for liquidity risk management via options and stock futures because both markets experience simultaneous liquidity shocks. These findings are relevant to investors when timing their hedging, speculation, or arbitrage strategies. ",

keywords = "Liquidity commonality, Options, Stock futures",

author = "Bouchra Benzennou and \{ap Gwilym\}, Owain and Gwion Williams",

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N2 - This study investigates the existence of common factors driving liquidity across different markets during a crisis period. The evidence suggests that liquidity across different European options and stock futures markets co-moves. This implies the existence of limits to the potential for liquidity risk management via options and stock futures because both markets experience simultaneous liquidity shocks. These findings are relevant to investors when timing their hedging, speculation, or arbitrage strategies.

AB - This study investigates the existence of common factors driving liquidity across different markets during a crisis period. The evidence suggests that liquidity across different European options and stock futures markets co-moves. This implies the existence of limits to the potential for liquidity risk management via options and stock futures because both markets experience simultaneous liquidity shocks. These findings are relevant to investors when timing their hedging, speculation, or arbitrage strategies.

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U2 - 10.1016/j.frl.2019.01.008

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M3 - Article

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JO - Finance Research Letters

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Commonality in Liquidity across Options and Stock Futures Markets

Crynodeb

Mynediad at Ddogfen

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