On the information content of implied liquidity measure: Evidence from the S&P 500 index options-Reference-Cited by-同舟云学术

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On the information content of implied liquidity measure: Evidence from the S&P 500 index options

Published:2023-11 Issue: Volume:57 Page:104164
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Yerli Cigdem^ORCID,Eksi-Altay Zehra^ORCID,Selcuk-Kestel A. Sevtap

Publisher

Elsevier BV

Subject

Finance

Reference25 articles.

1. Implied liquidity: Model sensitivity;Albrecher;J. Empir. Financ.,2013

2. Illiquidity and stock returns: cross-section and time-series effects;Amihud;J. Financial Mark.,2002

3. Option pricing with transaction costs and a nonlinear black-scholes equation;Barles;Finance Stoch.,1998

4. Deciphering the liquidity and credit crunch 2007–2008;Brunnermeier;J. Econ. Perspect.,2009

5. Market liquidity and funding liquidity;Brunnermeier;Rev. Financ. Stud.,2009

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