Illiquidity transmission from spot to futures markets
研究现货市场非流动性如何传导至期货市场，发现传导并非一对一，而是受价格风险、流动性风险和市场做市商风险厌恶的影响，并用股票和期货数据验证了模型。
Abstract We develop a model of illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory of Cho and Engle (1999). The model shows that spot market illiquidity does not translate one to one to the futures market but, rather, interacts with price risk, liquidity risk, and the risk aversion of the market maker. The model's predictions are tested empirically with data from the stock market and markets for single‐stock futures and index futures. The results support our model and show that the derivative hedge theory provides an explanation for the liquidity link between spot and futures markets.