Navigation ▼

Zur Kurzanzeige

dc.contributor.advisor Korn, Olaf Prof. Dr.
dc.contributor.author Krischak, Paolo
dc.date.accessioned 2016-06-08T11:14:45Z
dc.date.available 2016-06-08T11:14:45Z
dc.date.issued 2016-06-08
dc.identifier.uri http://hdl.handle.net/11858/00-1735-0000-0028-8772-1
dc.language.iso deu de
dc.relation.uri http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subject.ddc 330 de
dc.title Liquiditätszusammenhänge zwischen Kassa- und Derivatemärkten de
dc.type doctoralThesis de
dc.title.translated Illiquidity Transmission between Spot and Derivative Markets de
dc.contributor.referee Muntermann, Jan Prof. Dr.
dc.date.examination 2016-05-03
dc.description.abstracteng This dissertation develops a model of the 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. Furthermore, the model shows that deviations from the no-arbitrage price are driven by the illiquidity of the spot market. 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 the model and show that the derivative hedge theory can help explain the liquidity link between spot and futures markets as well as the deviations from the no-arbitrage price. de
dc.contributor.coReferee Dierkes, Stefan Prof. Dr.
dc.subject.eng illiquidity de
dc.subject.eng liquidity risk de
dc.subject.eng futures de
dc.identifier.urn urn:nbn:de:gbv:7-11858/00-1735-0000-0028-8772-1-6
dc.affiliation.institute Wirtschaftswissenschaftliche Fakultät de
dc.subject.gokfull Wirtschaftswissenschaften (PPN621567140) de
dc.identifier.ppn 860745139

Dateien

Das Dokument erscheint in:

Zur Kurzanzeige