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Commonality in liquidity across options and stock futures markets (2019)
Journal Article
Benzennou, B., ap Gwilym, O., & Williams, G. (2020). Commonality in liquidity across options and stock futures markets. Finance Research Letters, 32, Article 101096. https://doi.org/10.1016/j.frl.2019.01.008

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 exi... Read More about Commonality in liquidity across options and stock futures markets.