Illiquidity transmission from spot to futures markets

被引：2
|
作者：
Korn, Olaf [1 ,2 ]
Krischak, Paolo [1 ]
Theissen, Erik [2 ,3 ]
机构：
[1] Univ Goettingen, Fac Business & Econ, Gottingen, Germany
[2] Ctr Financial Res Cologne CFR, Cologne, Germany
[3] Univ Mannheim, Finance Area, Mannheim, Germany
来源：
JOURNAL OF FUTURES MARKETS | 2019年 / 39卷 / 10期
关键词：
futures markets; illiquidity; liquidity risk; SINGLE-STOCK FUTURES; INDEX FUTURES; TRADING ACTIVITY; PRICE DISCOVERY; EXECUTION COSTS; RELATIVE RATES; ORDER FLOW; LIQUIDITY; OPTIONS; INFORMATION;
D O I：
10.1002/fut.22043
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We develop a model of illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory of Cho and Engle (1999). The model shows that spot market illiquidity does not translate one to one to the futures market but, rather, interacts with price risk, liquidity risk, and the risk aversion of the market maker. The model's predictions are tested empirically with data from the stock market and markets for single-stock futures and index futures. The results support our model and show that the derivative hedge theory provides an explanation for the liquidity link between spot and futures markets.
引用
收藏
页码：1228 / 1249
页数：22
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