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.
|Number of pages||21|
|Journal||Journal of Futures Markets|
|Publication status||Published - 2015 Jun 1|
ASJC Scopus subject areas
- Business, Management and Accounting(all)
- Economics and Econometrics