Commonality in liquidity across options and stock futures markets

Bouchra Benzennou, Owain ap Gwilym, Gwion Williams

Abstract

This study investigates the existence of common aggregate factors driving liquidity
across different markets. The first evidence provided suggests that liquidity across
different European options markets co-moves. Similar results are observed across
options and stock futures markets, implying that liquidity in different derivative
markets are linked contemporaneously. These findings are relevant to investors
when timing their hedging, speculation, or arbitrage strategies.
Original languageEnglish
StateIn preparation - 2018
EventBritish Accounting and Finance Association - Edinburgh , United Kingdom

Conference

ConferenceBritish Accounting and Finance Association
Abbreviated titleBAFA
CountryUnited Kingdom
CityEdinburgh
Period10/04/1712/04/17
Internet address

Fingerprint

Liquidity
Arbitrage
Hedging
Speculation

Cite this

Benzennou, B., ap Gwilym, O., & Williams, G. (2018). Commonality in liquidity across options and stock futures markets. Paper presented at British Accounting and Finance Association, Edinburgh , United Kingdom.

Commonality in liquidity across options and stock futures markets. / Benzennou, Bouchra; ap Gwilym, Owain; Williams, Gwion.

2018. Paper presented at British Accounting and Finance Association, Edinburgh , United Kingdom.

Research output: Contribution to conferencePaper

Benzennou, B, ap Gwilym, O & Williams, G 2018, 'Commonality in liquidity across options and stock futures markets' Paper presented at British Accounting and Finance Association, Edinburgh , United Kingdom, 10/04/17 - 12/04/17, .
Benzennou B, ap Gwilym O, Williams G. Commonality in liquidity across options and stock futures markets. 2018. Paper presented at British Accounting and Finance Association, Edinburgh , United Kingdom.

Benzennou, Bouchra; ap Gwilym, Owain; Williams, Gwion / Commonality in liquidity across options and stock futures markets.

2018. Paper presented at British Accounting and Finance Association, Edinburgh , United Kingdom.

Research output: Contribution to conferencePaper

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