Information Spillovers between Derivative Markets with Differences in Transaction Costs and Liquidity

In line with the transactions cost theory, this paper shows that the futures market with its higher liquidity and lower transactions costs, leads the options market in the price discovery process. Liquidity and transaction costs are also shown to play a key role in market sensitivity to information, since the futures market's response to shocks is quicker, which means that it receives higher volatility spillovers than does the options market

MoreLess

Year of publication:	[2007]
Authors:	Blasco, Natividad
Other Persons:	Corredor, Pilar (contributor) ; Santamaria, Rafael (contributor)
Publisher:	[2007]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

Check Google Scholar |

More access options

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	Volltext nicht verfügbar
Classification:	G10 - General Financial Markets. General ; G14 - Information and Market Efficiency; Event Studies ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012776865