Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/64979
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dc.contributorSchool of Accounting and Financeen_US
dc.creatorLi, Gen_US
dc.date.accessioned2017-04-11T01:15:47Z-
dc.date.available2017-04-11T01:15:47Z-
dc.identifier.issn1029-807Xen_US
dc.identifier.urihttp://hdl.handle.net/10397/64979-
dc.language.isoenen_US
dc.publisherHong Kong Polytechnic Universityen_US
dc.rights© The Author(s) 2016. This article is published with open access by The Hong Kong Polytechnic Universityen_US
dc.rightsPosted with permission of the author.en_US
dc.subjectLiquidityen_US
dc.subjectOptionsen_US
dc.subjectDerivative warrantsen_US
dc.subjectHedgingen_US
dc.subjectInventory risken_US
dc.titleDoes the liquidity of underlying stocks affect the liquidity of derivatives? Evidence from a natural experimenten_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage1en_US
dc.identifier.epage21en_US
dc.identifier.volume18en_US
dc.identifier.issue1en_US
dc.identifier.doi10.7603/s40570-016-0001-xen_US
dcterms.abstractThis paper documents a significant positive impact of the liquidity of underlying stocks on the liquidity of derivative securities on the basis of a sample of options and derivative warrants traded in Hong Kong. The study relies on an exogenous change in the liquidity of underlying stocks, namely, the tick size reduction implemented by the Hong Kong Stock Exchange (HKEx), which significantly reduces the bid-ask spreads of underlying stocks. The bid-ask spreads of derivative securities are also significantly reduced, especially those less liquid and with a greater inventory risk. The results of the paper are consistent with the derivative hedging theory of Cho and Engle (1999) and shed light on the sources of the liquidity of derivative securities.en_US
dcterms.abstract本文用香港期权和衍生认股权证的样本,阐明了标的股票的流动性对衍生证券的流动性有着显著正向的影响。该研究依赖于标的股票流动性的外生变化,即香港联交所实施的报价单位的减少。这项措施显著降低了标的股票的买卖价差。衍生证券的买卖价差也显著减少,特别是流动性差的及库存风险大的衍生证券。本文的结果与 Choand Engle(1999)的衍生证券对冲理论一致,并揭示了衍生证券流动性的来源。en_US
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationChina accounting and finance review (中國會計與財務硏究), Mar. 2016, v. 18, no. 1, p. 1-21en_US
dcterms.isPartOfChina accounting and finance review (中國會計與財務硏究)en_US
dcterms.issued2016-03-
dc.identifier.eissn2307-3055en_US
dc.identifier.rosgroupid2015005010-
dc.description.ros2015-2016 > Academic research: refereed > Publication in refereed journalen_US
dc.description.validate202103 bcrcen_US
dc.description.oaVersion of Recorden_US
dc.identifier.FolderNumbera0606-n01-
dc.identifier.SubFormID565-
dc.description.fundingSourceRGCen_US
dc.description.fundingTextPolyU 242710en_US
dc.description.pubStatusPublisheden_US
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