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Commonality in Liquidity across Options and Stock Futures Markets

Research output: Contribution to journal › Article › peer-review

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Commonality in Liquidity across Options and Stock Futures Markets. / Benzennou, Bouchra; ap Gwilym, Owain; Williams, Gwion.
In: Finance Research Letters, Vol. 32, 101096, 01.2020.

Research output: Contribution to journal › Article › peer-review

HarvardHarvard

Benzennou, B, ap Gwilym, O & Williams, G 2020, 'Commonality in Liquidity across Options and Stock Futures Markets', Finance Research Letters, vol. 32, 101096. https://doi.org/10.1016/j.frl.2019.01.008

APA

Benzennou, B., ap Gwilym, O., & Williams, G. (2020). Commonality in Liquidity across Options and Stock Futures Markets. Finance Research Letters, 32, Article 101096. https://doi.org/10.1016/j.frl.2019.01.008

CBE

Benzennou B, ap Gwilym O, Williams G. 2020. Commonality in Liquidity across Options and Stock Futures Markets. Finance Research Letters. 32:Article 101096. https://doi.org/10.1016/j.frl.2019.01.008

MLA

Benzennou, Bouchra, Owain ap Gwilym, and Gwion Williams. "Commonality in Liquidity across Options and Stock Futures Markets". Finance Research Letters. 2020. 32. https://doi.org/10.1016/j.frl.2019.01.008

VancouverVancouver

Benzennou B, ap Gwilym O, Williams G. Commonality in Liquidity across Options and Stock Futures Markets. Finance Research Letters. 2020 Jan;32:101096. Epub 2019 Jan 28. doi: 10.1016/j.frl.2019.01.008

Author

Benzennou, Bouchra ; ap Gwilym, Owain ; Williams, Gwion. / Commonality in Liquidity across Options and Stock Futures Markets. In: Finance Research Letters. 2020 ; Vol. 32.

RIS

TY - JOUR

T1 - Commonality in Liquidity across Options and Stock Futures Markets

AU - Benzennou, Bouchra

AU - ap Gwilym, Owain

AU - Williams, Gwion

PY - 2020/1

Y1 - 2020/1

N2 - 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.

AB - 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.

KW - Liquidity commonality

KW - Options

KW - Stock futures

U2 - 10.1016/j.frl.2019.01.008

DO - 10.1016/j.frl.2019.01.008

M3 - Article

VL - 32

JO - Finance Research Letters

JF - Finance Research Letters

SN - 1544-6123

M1 - 101096

ER -