Causality between Arbitrage and Liquidity in Platinum Futures
Causality between Arbitrage and Liquidity in Platinum Futures
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DOI：
10.3390/jrfm15120593
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发表时间：
2022-12
影响因子：
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通讯作者：
Kentaro Iwatsubo;C. Watkins
中科院分区：
文献类型：
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作者：
Kentaro Iwatsubo;C. Watkins
套利和流动性是相互关联的。流动性有利于仲裁员在偏离一价定律的情况下进行交易。然而，套利机会是否导致流动性的增加或减少取决于偏离的原因。需求冲击导致流动性增加，而信息不对称则对流动性有害。我们研究了在纽约和东京交易所的世界上最大的铂期货市场中，套利和流动性是如何相互影响的。市场提供了一个有趣的机构环境，因为期货基于相同的基础商品，但在日内和整个生命周期内表现出不同的流动性特征。使用日内数据，我们发现，平均而言，汇率调整后的期货价格的偏离会导致流动性立即增加，这表明需求冲击是套利机会的主要驱动力。交易不太活跃的期货经历了更大的流动性效应。在纽约和东京，仲裁员通过充当自由裁量的流动性交易员和跨部门的做市商来改善流动性。
Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the deviation. A demand shock leads to greater liquidity, while asymmetric information is toxic to liquidity. We examine how arbitrage and liquidity influence each other in the world’s largest platinum futures markets on exchanges in New York and Tokyo. The markets provide an interesting institutional setting because the futures are based on an identical underlying commodity but exhibit different liquidity characteristics both intraday and over their lifespans. Using intraday data, we find that deviation in currency-adjusted futures prices leads, on average, to an immediate increase in liquidity, suggesting that demand shocks are the dominant driver of arbitrage opportunities. Less actively traded futures experience a greater liquidity effect. Arbitrageurs improve liquidity in both New York and Tokyo by acting as discretionary liquidity traders and cross-sectional market-makers.