Arbeitspapier
Illiquidity transmission from spot to futures markets
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFR Working Paper ; No. 14-10
- Klassifikation
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
illiquidity
liquidity risk
futures markets
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Korn, Olaf
Krischak, Paolo
Theissen, Erik
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Cologne, Centre for Financial Research (CFR)
- (wo)
-
Cologne
- (wann)
-
2017
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Korn, Olaf
- Krischak, Paolo
- Theissen, Erik
- University of Cologne, Centre for Financial Research (CFR)
Entstanden
- 2017
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