Verousis, Thanos and ap Gwilym, Owain and Voukelatos, Nikolaos (2016) 'Commonality in equity options liquidity: evidence from European Markets.' The European Journal of Finance, 22 (12). pp. 1204-1223. ISSN 1351-847X
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Commonality in equity options liquidity T Verousis.pdf - Accepted Version Download (1MB) | Preview |
Abstract
This paper examines commonality in liquidity for individual equity options trading in European markets. We use high-frequency data to construct a novel index of liquidity commonality. The approach is able to explain a substantial proportion of the liquidity variation across individual options. The explanatory power of the common liquidity factor is more pronounced during periods of higher market-wide implied volatility. The common factor's impact on individual options' liquidity depends on options' idiosyncratic characteristics. There is some evidence of systematic liquidity spillover effects across these European exchanges.
Item Type: | Article |
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Uncontrolled Keywords: | options, commonality, liquidity, bid-ask spread |
Subjects: | H Social Sciences > HG Finance |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School Faculty of Social Sciences > Essex Business School > Essex Finance Centre |
SWORD Depositor: | Elements |
Depositing User: | Elements |
Date Deposited: | 15 Mar 2019 14:40 |
Last Modified: | 06 Jan 2022 13:53 |
URI: | http://repository.essex.ac.uk/id/eprint/24176 |
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