| 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.identifier.uri | http://dx.doi.org/10.53846/goediss-5670 | |
| dc.identifier.uri | http://dx.doi.org/10.53846/goediss-5670 | |
| dc.language.iso | deu | de |
| dc.rights.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 | |