Commonality in Liquidity across Options and Stock Futures Markets

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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.

Keywords

  • Liquidity commonality, Options, Stock futures
Original languageEnglish
Article number101096
JournalFinance Research Letters
Volume32
Early online date28 Jan 2019
DOIs
Publication statusPublished - Jan 2020

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