Liquidity Commonality Among Asian Futures Markets
This study investigates the impact of common liquidity factors on liquidity variations of seven selected Asian stock index futures. On average, the common factors account for 10.35% of daily variations of Asian futures liquidity. In that, 8.89% is driven by regional common factors whereas global fac...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2015
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| Online Access: | http://eprints.nottingham.ac.uk/28618/ http://eprints.nottingham.ac.uk/28618/1/NguyenVuHongThach.pdf |