Commonality in liquidity across options and stock futures markets

Bouchra Benzennou, Owain ap Gwilym, Gwion Williams

Research output: Contribution to conferencePaper

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
Pages(In-press)
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
http://bafa.ac.uk/events/upcoming-events/annual-conference-2017.html (Link to conference page)

Conference

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

Fingerprint

Liquidity
Commonality
Futures markets
Derivative markets
Investors
Hedging
Options markets
Speculation
European options
Arbitrage
Factors

Keywords

  • (In-press)

Cite this

Benzennou, B., ap Gwilym, O., & Williams, G. (Accepted/In press). Commonality in liquidity across options and stock futures markets. (In-press). 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.

2019. (In-press) Paper presented at British Accounting and Finance Association, Edinburgh , United Kingdom.

Research output: Contribution to conferencePaper

Benzennou, B, ap Gwilym, O & Williams, G 2019, '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, pp. (In-press).
Benzennou B, ap Gwilym O, Williams G. Commonality in liquidity across options and stock futures markets. 2019. 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. Paper presented at British Accounting and Finance Association, Edinburgh , United Kingdom.
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