Commonality in Liquidity Across International Borders: Evidence from Futures Markets

Alex Frino, Vito Mollica, Zeyang Zhou*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)

Abstract

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 for liquidity commonality based on a market model and principal component method. We investigate the variation in global liquidity commonality through time and document that liquidity commonality is higher in significance and more pervasive in recent years.

Original languageEnglish
Pages (from-to)807-818
Number of pages12
JournalThe Journal of Futures Markets
Volume34
Issue number8
DOIs
Publication statusPublished - Aug 2014

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