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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/79300

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/79300

Title:	Exchange Traded Barrier Option and VPIN: Evidence from Hong Kong
Authors:	周冠男 Cheung, William;Chou, Robin K.;Lei, Adrian C.H.
Contributors:	財管系
Date:	2015-06
Issue Date:	2015-11-03 16:56:52 (UTC+8)
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. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 35:561–581, 2015
Relation:	Journal of Futures Markets,35(6),561-581
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1002/fut.21719
DOI:	10.1002/fut.21719
Appears in Collections:	[財務管理學系] 期刊論文

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