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Market liquidity and flow-driven risk

Deuskar, Prachi; Johnson, Tim - In: The review of financial studies 24 (2011) 3, pp. 721-753

Persistent link: https://www.econbiz.de/10008934104

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

The relationship between index option moneyness and relative liquidity

Etling, Cheri; Miller, Thomas W. - In: The journal of futures markets 20 (2000) 10, pp. 971-987

Persistent link: https://www.econbiz.de/10001530843

The relationship between the volatilities of the S&P 500 index and futures contracts implicit in their call option prices

Han, Li-ming - In: The journal of futures markets 10 (1990) 3, pp. 273-285

Persistent link: https://www.econbiz.de/10001128018

Direct and indirect effects of index ETFs on spot-futures pricing and liquidity : evidence from the CAC 40 index

Deville, Laurent; Gresse, Carole; Séverac, Béatrice de - In: European financial management : the journal of the … 20 (2014) 2, pp. 352-373

Persistent link: https://www.econbiz.de/10010350999

On the liquidity of CAC 40 index options market

François-Heude, Alain; Yousfi, Quidad - In: Journal of derivatives & hedge funds 20 (2014) 3, pp. 177-198

Persistent link: https://www.econbiz.de/10010462971

How does liquidity react to stress periods in a limit order market?

Beltran Lopez, Helena; Durré, Alain; Giot, Pierre - 2004

This paper looks at the interplay of volatility and liquidity on the Euronext trading platform during the December 2 …-traded stocks on Euronext, we study the ex-ante liquidity vs volatility and ex-post liquidity vs volatility relationships to … ascertain if the high volatility led to decreases in liquidity and large trading costs. We show that the provision of liquidity …

Persistent link: https://www.econbiz.de/10011626249

The cross-market dynamic effects of liquidity on volatility : evidence from Chinese stock index and futures markets

Qiao, Gaoxiu; Teng, Yuxin; Xu, Yanyan; Wang, Lu - In: Applied economics 52 (2020) 1, pp. 85-99

Persistent link: https://www.econbiz.de/10012197378

Liquidity and the law of one price : the case of the future-cash basis

Roll, Richard; Schwartz, Eduardo S.; Subrahmanyam, Avanidhar - In: The journal of finance : the journal of the American … 62 (2007) 5, pp. 2201-2234

Persistent link: https://www.econbiz.de/10003550022

Strategic trading by index funds and liquidity provision around S&P 500 index additions

Green, Tracy Clifton; Jame, Russell - In: Journal of financial markets 14 (2011) 4, pp. 605-624

Persistent link: https://www.econbiz.de/10009260942

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