Commonality in equity options liquidity: evidence from European Markets
利用高频数据构建流动性共性指数，发现欧洲股票期权市场存在显著的流动性共性，且市场波动加剧时共性更强，流动性还会跨交易所溢出。
This paper examines commonality in liquidity for individual equity options trading in European markets. We use high-frequency data to construct a novel index of liquidity commonality. The approach is able to explain a substantial proportion of the liquidity variation across individual options. The explanatory power of the common liquidity factor is more pronounced during periods of higher market-wide implied volatility. The common factor's impact on individual options' liquidity depends on options' idiosyncratic characteristics. There is some evidence of systematic liquidity spillover effects across these European exchanges.