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Liquidity and pricing of credit default swaps in Japan : evidence from a benchmark index for corporate debt claims
Inaba, Kei-Ichiro - In: Journal of financial services research : JFSR 54 (2018) 1, pp. 111-143
Persistent link: https://www.econbiz.de/10012024963
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Algorithmic trading, liquidity, and price discovery : an intraday analysis of the SPI 200 futures
Viljoen, Tina; Westerholm, P. Joakim; Zheng, Hui - In: The financial review : the official publication of the … 49 (2014) 2, pp. 245-270
Persistent link: https://www.econbiz.de/10010363593
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What Is So Special About KOSPI 200 Index Futures Contract? An Analysis of Trading Volume and Liquidity
Ciner, Cetin - 2020
The Korean Stock Exchange's (KSE) KOSPI 200 Index futures and options have been the fastest growing derivatives contracts in the world in recent years. This paper presents an analysis of the factors contributing to the success, as measured by trading volume, of the KOSPI 200 Index futures...
Persistent link: https://www.econbiz.de/10012830894
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A reverse index futures split effect on liquidity and market dynamics
Athanasios, Fassas; Nikolas, Hourvouliades - In: International journal of bonds and derivatives 3 (2017) 3, pp. 235-252
Persistent link: https://www.econbiz.de/10011875992
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The effect of dual trading on market depth in the S&P 500 futures contract
Park, Hun Y.; Sarkar, Asani - In: Research in finance 17 (1999), pp. 219-231
Persistent link: https://www.econbiz.de/10001485110
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Intraday price jumps, market liquidity, and the magnet effect of circuit breakers
Jian, Zhihong; Zhu, Zhican; Zhou, Jie; Wu, Shuai - In: International review of economics & finance : IREF 70 (2020), pp. 168-186
Persistent link: https://www.econbiz.de/10012486784
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Mispricing in single stock futures : empirical examination of Indian markets
Shankar, R. L.; Sankar, Ganesh; Kiran, Kumar K. - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 7, pp. 1619-1633
Persistent link: https://www.econbiz.de/10012210819
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Assurance et couverture de portefeuille, volatilité des prix et stabilité des marchés financiers : les enseignements de trois modèles théoriques
Charléty, Patricia - In: Revue économique : revue bimestrielle 48 (1997) 4, pp. 853-868
Persistent link: https://www.econbiz.de/10001222556
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Liquidity Resilience in the UK Gilt Futures Market : Evidence from the Order Book
Fullwood, Jonathan - 2018
We analyse liquidity dynamics in the UK long gilt futures market. We use a novel order book dataset to assess liquidity … favour of resilience. We further show that this resilience does not come at the expense of a negative liquidity trend. These … liquidity in the UK long gilt futures market …
Persistent link: https://www.econbiz.de/10012913735
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Pricing vulnerable options with stochastic liquidity risk
Wang, Xingchun - In: The North American journal of economics and finance : a … 60 (2022), pp. 1-10
Persistent link: https://www.econbiz.de/10013449096