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Net buying pressure, volatility smile, and abnormal profit of Hang Seng Index options

Chan, Kam C.; Cheng, Louis T. W.; Lung, Peter P. - In: The journal of futures markets 24 (2004) 12, pp. 1165-1194

Persistent link: https://www.econbiz.de/10002428697

Moneyness and the response of the implied volatilities to price changes : the empirical evidence from HSI options

Chan, Kam C.; Cheng, Louis T. W.; Lung, Peter P. - In: Pacific-Basin finance journal 11 (2003) 4, pp. 527-553

Persistent link: https://www.econbiz.de/10001802286

Where are the sources of stock market mispricing and excess volatility?

Chen, Carl R.; Lung, Peter P.; Wang, F. Albert - In: Review of quantitative finance and accounting 41 (2013) 4, pp. 631-650

Persistent link: https://www.econbiz.de/10010246406

Trading in the options market around financial analysts' consensus revisions

Hayunga, Darren K.; Lung, Peter P. - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 3, pp. 725-747

Persistent link: https://www.econbiz.de/10010487740

Index option trading and equity volatility : evidence from the SSE 50 and CSI 500 stocks

Sui, Cong; Lung, Peter P.; Yang, Mo - In: International review of economics & finance : IREF 73 (2021), pp. 60-75

Persistent link: https://www.econbiz.de/10012672300

Implied volatility forecast and option trading strategy

Liu, Dehong; Liang, Yucong; Zhang, Lili; Lung, Peter P.; … - In: International review of economics & finance : IREF 71 (2021), pp. 943-954

Persistent link: https://www.econbiz.de/10012630807

Trading in the Options Market Around the Financial Analysts’ Consensus Revision

Hayunga, Darren K. - 2015

This article investigates the options market around a revision in the financial analysts' consensus recommendation. The results demonstrate that options investors trade in the correct direction of the upcoming revision approximately three days prior to the announcement. We find this behavior in...

Persistent link: https://www.econbiz.de/10013036070

The information content of realized volatility of sector indices in China’s stock market

Lin, Tiantian; Liu, Dehong; Zhang, Lili; Lung, Peter P. - In: International review of economics & finance : IREF 64 (2019), pp. 625-640

Persistent link: https://www.econbiz.de/10012372895

Predictable dynamics in the implied volatility surface based on weighted least squares : evidence from soybean meal futures options in China

Sui, Cong; Lung, Peter P.; Yang, Mo - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 11, pp. 2625-2638

Persistent link: https://www.econbiz.de/10012262896

The information value of excessive speculative trades on price volatility in oil futures markets

Chan, Leo H.; Nguyen, Chi M.; Chan, Kam C. - In: International financial markets, (pp. 1-24). 2013

Persistent link: https://www.econbiz.de/10010204802