Exchange-traded barrier option and VPIN: Evidence from Hong Kong

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

doi:10.1002/fut.21719

Exchange-traded barrier option and VPIN: Evidence from Hong Kong

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

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

10 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 language	English
Pages (from-to)	561-581
Number of pages	21
Journal	Journal of Futures Markets
Volume	35
Issue number	6
DOIs	https://doi.org/10.1002/fut.21719
Publication status	Published - 2015 Jun 1
Externally published	Yes

ASJC Scopus subject areas

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

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10.1002/fut.21719

Cite this

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Exchange-traded barrier option and VPIN: Evidence from Hong Kong

Abstract

ASJC Scopus subject areas

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