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 journalArticlepeer-review

10 Citations (Scopus)


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
Issue number6
Publication statusPublished - 2015 Jun 1
Externally publishedYes

ASJC Scopus subject areas

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


Dive into the research topics of 'Exchange-traded barrier option and VPIN: Evidence from Hong Kong'. Together they form a unique fingerprint.

Cite this