Frino, Alex; Mollica, Vito; Zhou, Zeyang - In: Journal of Futures Markets 34 (2014) 8, pp. 807-818
<section xml:id="fut21663-sec-0001"> This study examines commonality in liquidity for stock index futures markets. We report strong evidence of commonality in global liquidity for nine index futures contracts over a 10‐year time period extending October 2002 to September 2012. Our results are robust to expiry effects and tests...</section>