Commonality in equity options liquidity: Evidence from European Markets
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Dogfennau
- 2016 Commonality in equity
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This paper examines commonality in liquidity for individual equity
options trading in European markets. We use high-frequency data to
construct a novel index of liquidity commonality. The approach is able
to explain a substantial proportion of the liquidity variation across
individual options. The explanatory power of the common liquidity
factor is more pronounced during periods of higher market-wide
implied volatility. The common factor’s impact on individual options’
liquidity depends on options’ idiosyncratic characteristics. There is
some evidence of systematic liquidity spillover effects across these
European exchanges.
options trading in European markets. We use high-frequency data to
construct a novel index of liquidity commonality. The approach is able
to explain a substantial proportion of the liquidity variation across
individual options. The explanatory power of the common liquidity
factor is more pronounced during periods of higher market-wide
implied volatility. The common factor’s impact on individual options’
liquidity depends on options’ idiosyncratic characteristics. There is
some evidence of systematic liquidity spillover effects across these
European exchanges.
| Iaith wreiddiol | Saesneg |
|---|---|
| Tudalennau (o-i) | 1204-1223 |
| Cyfnodolyn | European Journal of Finance |
| Cyfrol | 22 |
| Rhif y cyfnodolyn | 12 |
| Dynodwyr Gwrthrych Digidol (DOIs) | |
| Statws | Cyhoeddwyd - 24 Mai 2016 |
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