Determinants of Option Markets Liquidity: An Empirical Analysis on European Markets
| العنوان: | Determinants of Option Markets Liquidity: An Empirical Analysis on European Markets |
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| المؤلفون: | Thomas Poufinas, Konstantinos Pappas |
| المصدر: | Theoretical Economics Letters. 11:824-857 |
| بيانات النشر: | Scientific Research Publishing, Inc., 2021. |
| سنة النشر: | 2021 |
| مصطلحات موضوعية: | Market capitalization, Economic freedom, Bid–ask spread, Order (exchange), Economics, General Medicine, General Chemistry, Monetary economics, Implied volatility, Capital market, Gross domestic product, Market liquidity |
| الوصف: | This paper attempts to discover the macroeconomic determinants of liquidity in option markets, which is measured by the open interest, the volume (number of transactions), the implied volatility and the bid-ask spread. The macroeconomic determinants of each European economy employed in this study are 1) the gross domestic product, the gross domestic product per capita, the unemployment rate, the income tax rate, the corporate tax rate, the population, the bank capital-to-assets ratio, the inflation, the 10-year government bond yield rate, 2) the market capitalization (of listed domestic companies), the Standard & Poor’s global equity indices (annual % change), the stocks traded (turnover ratio of domestic shares (%) and total value), which show the breadth of a country’s capital markets, as well as 3) indices like the economic freedom, the freedom from corruption, the fiscal freedom, the business freedom, the investment freedom, the financial freedom. Panel data linear regressions are performed to find evidence that the liquidity of the option markets is mainly affected by macroeconomic and capital market determinants, whereas the economic freedom indicators play a less significant role. The findings can be of use to the policymakers and option market authorities who wish to increase the liquidity of these markets. The novelties introduced by this study are the consideration of macroeconomic variables as determinants of option market liquidity and the subsequent use of these determinants in order to make policy recommendations. |
| تدمد: | 2162-2086 2162-2078 |
| URL الوصول: | https://explore.openaire.eu/search/publication?articleId=doi_________::95a03eb323adef2086bad889513f67c7 https://doi.org/10.4236/tel.2021.114053 |
| حقوق: | OPEN |
| رقم الأكسشن: | edsair.doi...........95a03eb323adef2086bad889513f67c7 |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 21622086 21622078 |
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