Commonality in liquidity across options and stock futures markets

Bouchra Benzennou, Owain ap Gwilym, Gwion Williams

Research output: Contribution to conferencePaperpeer-review


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
Publication statusAccepted/In press - 28 Jan 2019
EventBritish Accounting and Finance Association: Annual Conference - Heriot-Watt University , Edinburgh, United Kingdom
Duration: 10 Apr 201712 Apr 2017 (Link to conference page)


ConferenceBritish Accounting and Finance Association
Abbreviated titleBAFA
Country/TerritoryUnited Kingdom
Internet address


  • (In-press)


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