An Empirical Analysis on the Co-Movement of the Liquidity of S&P 500 Component Stocks, S&P 500 Index Options and VIX Options
碩士 === 國立臺灣大學 === 財務金融學研究所 === 99 === This article examines the liquidity commonality for S&P 500 index component stocks, S&P 500 index option, and VIX option markets, using data from 1, March, 2006 to 30, April, 2010, obtained from CRSP database. We find convincing evidence of commonality b...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/03916987486789544258 |