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

The Albert Gubay Business School

Coventry University, UK

Research output: Contribution to journal › Article › peer-review

349 Downloads (Pure)

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.

Original language	English
Article number	101096
Journal	Finance Research Letters
Volume	32
Early online date	28 Jan 2019
DOIs	https://doi.org/10.1016/j.frl.2019.01.008
Publication status	Published - Jan 2020

Keywords

Liquidity commonality
Options
Stock futures

Access to Document

10.1016/j.frl.2019.01.008

2019 CommonalityAccepted author manuscript, 571 KBLicence: CC BY-NC-ND

Cite this

@article{260b6a9009304591afb0ffd058873f80,

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",

year = "2020",

month = jan,

doi = "10.1016/j.frl.2019.01.008",

language = "English",

volume = "32",

journal = "Finance Research Letters",

issn = "1544-6123",

publisher = "Elsevier Limited",

}

TY - JOUR

T1 - Commonality in Liquidity across Options and Stock Futures Markets

AU - Benzennou, Bouchra

AU - ap Gwilym, Owain

AU - Williams, Gwion

PY - 2020/1

Y1 - 2020/1

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.

KW - Liquidity commonality

KW - Options

KW - Stock futures

U2 - 10.1016/j.frl.2019.01.008

DO - 10.1016/j.frl.2019.01.008

M3 - Article

SN - 1544-6123

VL - 32

JO - Finance Research Letters

JF - Finance Research Letters

M1 - 101096

ER -

Commonality in Liquidity across Options and Stock Futures Markets

Abstract

Keywords

Access to Document

Fingerprint

Cite this