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• W2755729545 abstract "The literature on derivative securities evidently does not contain any empirical studies of liquidity and volatility with high-frequency data for leading Australian financial futures contracts, during the general financial crisis. Moreover, while the extant literature has studied the liquidity interdependence between spot markets for bonds and equities, the liquidity interdependence between the futures markets for these securities has been neglected. This article, in addressing these deficiencies, estimates the relationship between liquidity and realized volatility, for Australian 90 Day Bank Accepted Bills (BAB) futures (first interest rate futures contract outside USA), with high-frequency data from the crisis year 2008, and studies the effect of changes in liquidity of S&P200 Index futures on the liquidity of BAB futures. The main results are first, the key variables are positively skewed and leptokurtic. Second, the ask–bid spread for BAB futures varies directly with volatility, which is consistent with a private information interpretation of volatility, which increases asymmetric information costs. Third, the ask–bid spreads for BAB futures and S&P200 futures exhibit positive covariation, which is consistent with the view of commonality in liquidity. The results of this research will be relevant to policymakers, regulators, market participants, educators, and graduate students." @default.
• W2755729545 created "2017-09-25" @default.
• W2755729545 creator A5024501681 @default.
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• W2755729545 date "2017-09-20" @default.
• W2755729545 modified "2023-09-27" @default.
• W2755729545 title "Liquidity and realized volatility in short-term interest rate futures in 2008 crisis" @default.
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• W2755729545 doi "https://doi.org/10.1002/hf2.10007" @default.
• W2755729545 hasPublicationYear "2017" @default.
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