| dc.contributor | 財管系 | |
| dc.creator (作者) | 周冠男 | zh_TW |
| dc.creator (作者) | Cheung, William;Chou, Robin K.;Lei, Adrian C.H. | |
| dc.date (日期) | 2015-06 | |
| dc.date.accessioned | 3-Nov-2015 16:56:52 (UTC+8) | - |
| dc.date.available | 3-Nov-2015 16:56:52 (UTC+8) | - |
| dc.date.issued (上傳時間) | 3-Nov-2015 16:56:52 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/79300 | - |
| dc.description.abstract (摘要) | 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. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 35:561–581, 2015 | |
| dc.format.extent | 585173 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Journal of Futures Markets,35(6),561-581 | |
| dc.title (題名) | Exchange Traded Barrier Option and VPIN: Evidence from Hong Kong | |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1002/fut.21719 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1002/fut.21719 | |
