Essa, Mohammad Sharik; Giouvris, Evangelos - In: Journal of risk and financial management : JRFM 13 (2020) 4/70, pp. 1-40
We examine the impact of oil price and oil price volatility on US illiquidity premiums (return on illiquid-minus-liquid stocks), using the US Oil Fund options implied volatility OVX index. We use daily data from 2007 to 2018, taking into account the structural break in June 2009 and controlling...
