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Exchange‐Traded Barrier Option and VPIN: Evidence from Hong Kong
William M. Cheung1; Robin K. Chou2; Adrian C.H. Lei1
2015
Source PublicationJournal of Futures Markets
ISSN0270-7314
Volume35Issue:6Pages:561-581
Abstract

We 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. 

DOIhttps://doi.org/10.1002/fut.21719
Indexed BySSCI ; SSCI
Language英语
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance
WOS IDWOS:000353519200005
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被引频次[WOS]:6   [WOS记录]     [WOS相关记录]
Document TypeJournal article
专题Faculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding AuthorRobin K. Chou
Affiliation1.Department of Finance and Business Economics University of Macau, Macau, China
2.Department of Finance National Chengchi University, Taiwan
First Author AffilicationUniversity of Macau
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GB/T 7714
William M. Cheung,Robin K. Chou,Adrian C.H. Lei. Exchange‐Traded Barrier Option and VPIN: Evidence from Hong Kong[J]. Journal of Futures Markets,2015,35(6):561-581.
APA William M. Cheung,Robin K. Chou,&Adrian C.H. Lei.(2015).Exchange‐Traded Barrier Option and VPIN: Evidence from Hong Kong.Journal of Futures Markets,35(6),561-581.
MLA William M. Cheung,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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