Exchange-Traded Barrier Option and VPIN: Evidence from Hong Kong-Reference-Cited by-同舟云学术

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Exchange-Traded Barrier Option and VPIN: Evidence from Hong Kong

Published:2015-03-21 Issue:6 Volume:35 Page:561-581
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:

Author:

Cheung William M.¹,Chou Robin K.²,Lei Adrian C.H.¹

Affiliation:

1. William M. Cheung and Adrian C.H. Lei are at the Department of Finance and Business Economics; University of Macau; Macau China

2. Robin K. Chou is at the Department of Finance and Risk and Insurance Research Center; National Chengchi University; Taipei Taiwan

Funder

University of Macau

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference34 articles.

1. The components of the bid-ask spread in a limit-order market: Evidence from the Tokyo Stock Exchange;Ahn;Journal of Empirical Finance,2002

2. The PIN anomaly around M&A announcements;Aktas;Journal of Financial Markets,2007

3. VPIN and the Flash Crash;Andersen;Journal of Financial Markets,2014a

4. Reflecting on the VPIN dispute;Andersen;Journal of Financial Markets,2014b

5. An empirical reexamination of the impact of CBOE option initiation on the volatility and trading volume of the underlying equities: 1973-1986;Bansal;Financial Review,1989

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1. Are high frequency traders responsible for extreme price movements?;Economic Analysis and Policy;2022-03

2. A survey on the magnet effect of circuit breakers in financial markets;International Review of Economics & Finance;2020-09

3. VPIN, liquidity, and return volatility in the U.S. equity markets;Global Finance Journal;2020-08

4. Callable bull/bear contracts, call auction sessions, and price manipulations: Evidence from Hong Kong;Journal of Futures Markets;2020-02-13

5. Flow toxicity of high‐frequency trading and its impact on price volatility: Evidence from the KOSPI 200 futures market;Journal of Futures Markets;2019-10-10

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