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

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

Journal of Futures Markets, 2015, vol. 35, issue 6, 561-581

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. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 35:561–581, 2015

Date: 2015
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