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

页码：1228 / 1249

页数：22

共 50 条

[31] The influence of the spillover between futures and spot markets on hedging policy: evidence from Chinese stock markets
Shi, Kai
Gong, Junlian
FRONTIERS IN PHYSICS, 2023, 11
[32] Futures markets and spot price volatility: A case study
Morgan, CW
JOURNAL OF AGRICULTURAL ECONOMICS, 1999, 50 (02) : 247 - 257
[33] The energy market in Norway and Sweden: The spot and futures markets
Department of Electrical Engineering, University of Washington, Box 352500, Seattle, WA 98195-2500, United States
不详
IEEE Power Eng. Rev., 3 (55-56):
[34] Influence of Fluctuations in Fossil Fuel Commodities on Electricity Markets: Evidence from Spot and Futures Markets in Europe
Liu, Tiantian
He, Xie
Nakajima, Tadahiro
Hamori, Shigeyuki
ENERGIES, 2020, 13 (08)
[35] Price Discovery Process in Nifty Spot and Futures Markets
Choudhary, Kapil
Bajaj, Sushil
GLOBAL BUSINESS REVIEW, 2013, 14 (01) : 55 - 88
[36] A TREATISE ON MARKETS, SPOT, FUTURES, AND OPTIONS - BURNS,JM
SOSIN, HB
JOURNAL OF FINANCE, 1981, 36 (03): : 754 - 757
[37] Pricing Efficiency and Arbitrage in the Bitcoin Spot and Futures Markets
Lee, Seungho
El Meslmani, Nabil
Switzer, Lorne N.
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2020, 53
[38] The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets
Hattori, Takahiro
Ishida, Ryo
JOURNAL OF FUTURES MARKETS, 2021, 41 (01) : 105 - 114
[39] The role of trading volume, open interest and trader positions on volatility transmission between spot and futures markets
Ordu-Akkaya, Beyza Mina
Ugurlu-Yildirim, Ecenur
Soytas, Ugur
RESOURCES POLICY, 2019, 61 : 410 - 422
[40] Do the impacts of the futures-spot spread and skewness on the interdependence between spot and futures markets differ across regimes and energy commodities markets?
Chang, Kuang-Liang
APPLIED ECONOMICS, 2024,

← 1 2 3 4 5 →