UM
Exchange-traded barrier option and VPIN: Evidence from Hong Kong
Cheung,William M.1; Chou,Robin K.2; Lei,Adrian C.H.1
2015-06-01
Source PublicationJournal of Futures Markets
ISSN10969934 02707314
Volume35Issue:6Pages:561-581
AbstractWe study the validity of the volume-synchronized probability of informed trading (VPIN) metric in measuring the order flow toxicity around the mandatory call events of callable bull/bear contracts. High VPIN around mandatory call events indicates the existence of large volume imbalances, suggesting high market risk surrounding those call events. In this study, we provide the first direct evidence of the validity of VPIN outside the U.S. market.
DOI10.1002/fut.21719
URLView the original
Language英语
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Cited Times [WOS]:7   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionUniversity of Macau
Corresponding AuthorLei,Adrian C.H.
Affiliation1.Department of Finance and Business Economics,University of Macau,,Macau,Macao
2.Department of Finance and Risk and Insurance Research Center,National Chengchi University,,Taipei,Taiwan
First Author AffilicationUniversity of Macau
Corresponding Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Cheung,William M.,Chou,Robin K.,Lei,Adrian C.H.. Exchange-traded barrier option and VPIN: Evidence from Hong Kong[J]. Journal of Futures Markets,2015,35(6):561-581.
APA Cheung,William M.,Chou,Robin K.,&Lei,Adrian C.H..(2015).Exchange-traded barrier option and VPIN: Evidence from Hong Kong.Journal of Futures Markets,35(6),561-581.
MLA Cheung,William M.,et al."Exchange-traded barrier option and VPIN: Evidence from Hong Kong".Journal of Futures Markets 35.6(2015):561-581.
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