English, Article edition: Information spillovers between derivative markets with differences in transaction costs and liquidity Natividad Blasco; Pilar Corredor; Rafael Santamaria

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Bookmark: http://trove.nla.gov.au/version/33758
Physical Description
  • article
Language
  • English

Edition details

Title
  • Information spillovers between derivative markets with differences in transaction costs and liquidity
Author
  • Natividad Blasco
  • Pilar Corredor
  • Rafael Santamaria
Physical Description
  • article
Notes
  • In line with the transactions cost theory, this article shows that the futures market with its higher liquidity and lower transactions costs, leads the options market in the price discovery process. Liquidity and transaction costs are also shown to play a key role in market sensitivity to information, since the futures market s response to shocks is quicker, which means that it receives higher volatility spillovers than does the options market.
  • RePEc:taf:apeclt:v:16:y:2009:i:10:p:1039-1047
Language
  • English
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