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- W4293066313 abstract "In this paper, we study the relationship between marketwide liquidity and options market. Using the Chicago Board Options Exchange (CBOE) Volatility Index, VIX as a measure of overall value of the S&P 500 (SPX) options, and the CBOE SKEW Index as a measure of market crash risk premium in the options market, we study the relation among marketwide liquidity, VIX and SKEW. Empirical results show that higher the marketwide liquidity, less expensive the options and the less likely options traders anticipate a market crash." @default.
- W4293066313 created "2022-08-26" @default.
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- W4293066313 date "2022-05-24" @default.
- W4293066313 modified "2023-10-18" @default.
- W4293066313 title "MARKETWIDE LIQUIDITY AND OPTIONS MARKET" @default.
- W4293066313 doi "https://doi.org/10.24135/afl.v11i1.535" @default.
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