We investigate whether liquidity introduces or helps resolve uncertainty in Phase I and the first year of Phase II of the European Carbon futures market. We propose a distinction between ‘absolute' or overall liquidity and that which is ‘relative' to a benchmark. For this purpose, we suggest...

In this paper, we offer a comprehensive analysis of the structure of the Dim Sum bond market. We show that Dim Sum bonds usually have a short maturity and that the market is dominated by issuers from the banking sector. In our analysis of the determinants of Dim Sum bond bid-ask spread, we find...

We show evidence of a liquidity searching behaviour of informed investors in option listings, which was also found by Collin-Dufresne and Fos (2015) using stock markets. Nevertheless, and differently from Collin-Dufresne and Fos (2015), we find that the option bid-ask spread may be still a good...

This study utilises an extensive dataset from three European exchanges, namely NYSE LIFFE Amsterdam, London and Paris, to study cross-sectional commonality in liquidity for individual equity options. We document that individual option liquidity is strongly associated with the underlying market...

In this paper, we offer a comprehensive analysis of the structure of the Dim Sum bond market. We show that Dim Sum bonds usually have a short maturity and that the market is dominated by issuers from the banking sector. In our analysis of the determinants of Dim Sum bond bid-ask spread, we find...

On June 2, 2009, NYSE LIFFE Amsterdam reduced the tick size for options trading at prices below €0.20 from €0.05 to €0.01 and on April 1, 2010, the exchange increased the price threshold to €0.50. We study the effect of that tick size reduction on the liquidity of individual equity...