TY - JOUR

T1 - Commonality in equity options liquidity

T2 - Evidence from European Markets

AU - Verousis, Thanos

AU - ap Gwilym, Owain

AU - Voukelatos, Nikolaos

N1 - This is an Accepted Manuscript of an article published by Taylor & Francis in European Journal of Finance on [date of publication], available online: http://wwww.tandfonline.com/[Article DOI].

PY - 2016/5/24

Y1 - 2016/5/24

N2 - This paper examines commonality in liquidity for individual equityoptions trading in European markets. We use high-frequency data toconstruct a novel index of liquidity commonality. The approach is ableto explain a substantial proportion of the liquidity variation acrossindividual options. The explanatory power of the common liquidityfactor is more pronounced during periods of higher market-wideimplied volatility. The common factor’s impact on individual options’liquidity depends on options’ idiosyncratic characteristics. There issome evidence of systematic liquidity spillover effects across theseEuropean exchanges.

AB - This paper examines commonality in liquidity for individual equityoptions trading in European markets. We use high-frequency data toconstruct a novel index of liquidity commonality. The approach is ableto explain a substantial proportion of the liquidity variation acrossindividual options. The explanatory power of the common liquidityfactor is more pronounced during periods of higher market-wideimplied volatility. The common factor’s impact on individual options’liquidity depends on options’ idiosyncratic characteristics. There issome evidence of systematic liquidity spillover effects across theseEuropean exchanges.

U2 - 10.1080/1351847X.2016.1188836

DO - 10.1080/1351847X.2016.1188836

M3 - Article

VL - 22

SP - 1204

EP - 1223

JO - European Journal of Finance

JF - European Journal of Finance

SN - 1351-847X

IS - 12

ER -