Can the Implied Information of Options Predict the Liquidity of Stock Market? A Data-Driven Research Based on SSE 50ETF Options

Liquidity reflects the quality of the market. When the market is short of liquidity, it often causes investors’ trading difficulties and stock price volatility, expanding the investment risk. As a risk management tool, options attract more informed investors to trade because of their flexible design. To explore whether the implied information based on the formation of option price can predict the liquidity of stock market, we take SSE 50ETF...