Commonality in Liquidity across Options and Stock Futures Markets

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  • 2019 Commonality

    Accepted author manuscript, 570 KB, PDF document

    Embargo ends: 28/01/20

    Licence: CC BY-NC-ND Show licence

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.

Keywords

  • Liquidity Commonality, Stock Futures, Options
Original languageEnglish
JournalFinance Research Letters
Early online date28 Jan 2019
DOIs
Publication statusE-pub ahead of print - 28 Jan 2019
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