Commonality in Liquidity across Options and Stock Futures Markets
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- 2019 Commonality
Accepted author manuscript, 571 KB, PDF document
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, Options, Stock futures
| Original language | English |
|---|---|
| Article number | 101096 |
| Journal | Finance Research Letters |
| Volume | 32 |
| Early online date | 28 Jan 2019 |
| DOIs | |
| Publication status | Published - Jan 2020 |
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