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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

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

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

Implied volatility information of Chinese SSE 50 ETF options

Wu, Lingke; Liu, Dehong; Yuan, Jianglei; Huang, Zhenhuan - In: International review of economics & finance : IREF 82 (2022), pp. 609-624

Persistent link: https://www.econbiz.de/10013545670

Transportation sector and Chinese stock volatility forecasting : evidence from freight and passenger traffic

Zhang, Lili; Zhong, Juandan - In: Finance research letters 60 (2024), pp. 1-6

Persistent link: https://www.econbiz.de/10014490424

Does Mean-Reversion of Implied Volatility Generate Abnormal Returns

Lung, Pei - 2023

This paper develops an analytical framework to examine the mean-reversion behavior for implied volatility. We construct the analytical framework of implied volatility based on Heston (1993), examine the properties of the framework, and conduct various options trading strategies according to test...

Persistent link: https://www.econbiz.de/10014355283

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