Commonality in liquidity across options and stock futures markets

Bouchra Benzennou; Owain ap Gwilym; Gwion Williams

Commonality in liquidity across options and stock futures markets

Bouchra Benzennou
, Owain ap Gwilym
, Gwion Williams

Bangor University

Research output: Contribution to conference › Paper › peer-review

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 language	English
Pages	(In-press)
Publication status	Accepted/In press - 28 Jan 2019
Event	British Accounting and Finance Association: Annual Conference - Heriot-Watt University , Edinburgh, United Kingdom Duration: 10 Apr 2017 → 12 Apr 2017 http://bafa.ac.uk/events/upcoming-events/annual-conference-2017.html (Link to conference page)

Conference

Conference	British Accounting and Finance Association
Abbreviated title	BAFA
Country/Territory	United Kingdom
City	Edinburgh
Period	10/04/17 → 12/04/17
Internet address	http://bafa.ac.uk/events/upcoming-events/annual-conference-2017.html (Link to conference page)

Keywords

(In-press)

Cite this

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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. ",

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AU - ap Gwilym, Owain

AU - Williams, Gwion

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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.

KW - (In-press)

M3 - Paper

SP - (In-press)

T2 - British Accounting and Finance Association

Y2 - 10 April 2017 through 12 April 2017

ER -

Commonality in liquidity across options and stock futures markets

Abstract

Conference

Keywords

Fingerprint

Cite this