Exchange-traded barrier option and VPIN

Evidence from Hong Kong

Ming Yan William Cheung, Robin K. Chou, Adrian C.H. Lei

Research output: Contribution to journalArticle

6 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)561-581
Number of pages21
JournalJournal of Futures Markets
Volume35
Issue number6
DOIs
Publication statusPublished - 2015 Jun 1
Externally publishedYes

Fingerprint

Hong Kong
Probability of informed trading
Barrier options
Order flow
Market risk
Imbalance
Toxicity

ASJC Scopus subject areas

  • Accounting
  • Business, Management and Accounting(all)
  • Finance
  • Economics and Econometrics

Cite this

Exchange-traded barrier option and VPIN : Evidence from Hong Kong. / Cheung, Ming Yan William; Chou, Robin K.; Lei, Adrian C.H.

In: Journal of Futures Markets, Vol. 35, No. 6, 01.06.2015, p. 561-581.

Research output: Contribution to journalArticle

Cheung, Ming Yan William ; Chou, Robin K. ; Lei, Adrian C.H. / Exchange-traded barrier option and VPIN : Evidence from Hong Kong. In: Journal of Futures Markets. 2015 ; Vol. 35, No. 6. pp. 561-581.
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