Derivatives and market (il)liquidity

Derivatives and market (il)liquidity

We study how derivatives (with nonlinear payoffs) affect the underlying assets liquidity. In a rational expectations equilibrium, informed investors expect low conditional volatility and sell derivatives to the others. These derivative trades affect different investors utility differently, possibly...

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Bibliographic Details
Main Authors: HUANG, Shiyang, YUESHEN, Bart Zhou, ZHANG, Cheng
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2024
Subjects:
derivatives
liquidity measure
liquidity risk premium
options
price impact
price reversal
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/7282
https://ink.library.smu.edu.sg/context/lkcsb_research/article/8281/viewcontent/DerivativesMarketilliq_sv.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/7282
https://ink.library.smu.edu.sg/context/lkcsb_research/article/8281/viewcontent/DerivativesMarketilliq_sv.pdf

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