Commonality in liquidity across options and stock futures markets

Bouchra Benzennou, Owain ap Gwilym and Gwion Williams ()

Finance Research Letters, 2020, vol. 32, issue C

Abstract: This study investigates the existence of common factors driving liquidity across different markets during a crisis period. The evidence suggests that liquidity across different European options and stock futures markets co-moves. This implies the existence of limits to the potential for liquidity risk management via options and stock futures because both markets experience simultaneous liquidity shocks. These findings are relevant to investors when timing their hedging, speculation, or arbitrage strategies.

Keywords: Liquidity commonality; Stock futures; Options (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305762

DOI: 10.1016/j.frl.2019.01.008

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