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    题名: Exchange Traded Barrier Option and VPIN:  Evidence from Hong Kong
    作者: 周冠男
    Cheung, William;Chou, Robin K.;Lei, Adrian C.H.
    贡献者: 財管系
    日期: 2015-06
    上传时间: 2015-11-03 16:56:52 (UTC+8)
    摘要: 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. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 35:561–581, 2015
    關聯: Journal of Futures Markets,35(6),561-581
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1002/fut.21719
    DOI: 10.1002/fut.21719
    显示于类别:[財務管理學系] 期刊論文

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