Commonality in liquidity across options and stock futures markets

Bouchra Benzennou, Owain ap Gwilym, Gwion Williams

Research output: Research - peer-reviewPaper

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.

Conference

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

Fingerprint

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

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: Research - peer-reviewPaper

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. Paper presented at British Accounting and Finance Association, Edinburgh , United Kingdom.
@conference{d7b387c6e39f4665857837c056d0b75f,
title = "Commonality in liquidity across options and stock futures markets",
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.",
author = "Bouchra Benzennou and {ap Gwilym}, Owain and Gwion Williams",
year = "2018",

}

TY - CONF

T1 - Commonality in liquidity across options and stock futures markets

AU - Benzennou,Bouchra

AU - ap Gwilym,Owain

AU - Williams,Gwion

PY - 2018

Y1 - 2018

N2 - 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.

AB - 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.

M3 - Paper

ER -