Abstract
AbstractWe examine persistence and cross‐market liquidity spillovers in the Chicago Mercantile Exchange soybean complex futures markets. A multidimensional liquidity measure is derived from the limit‐order‐book, and a Vector Heterogeneous Autoregressive model estimates high‐resoluted liquidity from 30 s to one trading day. We find traders' order placement influenced by the liquidity of related markets. Liquidity persistence and positive liquidity spillovers mainly occur within 30 s, whereas spillovers for longer horizons are mostly negative. Findings are important for hedgers that hedge the crush and traders who wish to capitalize on the short‐term deviation of price relationships.
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