Commonality in Liquidity across Options and Stock Futures Markets
Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid
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- 2019 Commonality
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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 wreiddiol | Saesneg |
|---|---|
| Rhif yr erthygl | 101096 |
| Cyfnodolyn | Finance Research Letters |
| Cyfrol | 32 |
| Dyddiad ar-lein cynnar | 28 Ion 2019 |
| Dynodwyr Gwrthrych Digidol (DOIs) | |
| Statws | Cyhoeddwyd - Ion 2020 |
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