Commonality in Liquidity across Options and Stock Futures Markets

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  • 2019 Commonality

    Llawysgrif awdur wedi’i dderbyn, 570 KB, dogfen-PDF

    Embargo yn dod i ben: 28/01/20

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Dangosydd eitem ddigidol (DOI)

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.

Allweddeiriau

Iaith wreiddiolSaesneg
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Dyddiad ar-lein cynnar28 Ion 2019
Dynodwyr Gwrthrych Digidol (DOIs)
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