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The Informational Role of Stock and Option Volume

Chan, Kalok; Chung, Y. Peter; Fong, Wai-Ming - In: Review of Financial Studies 15 (2002) 4, pp. 1049-1075

This article analyzes the intraday interdependence of order flows and price movements for actively traded NYSE stocks and their Chicago Board Options Exchange (CBOE)-traded options. Stock net trade volume (buyer-initiated volume minus seller-initiated volume) has strong predictive ability for...

Persistent link: https://www.econbiz.de/10005743886

Free Float And Market Liquidity: A Study Of Hong Kong Government Intervention

Chan, Kalok; Chan, Yue-Cheong; Fong, Wai-Ming - In: The journal of financial research : a publ. of the … 27 (2004) 2, pp. 179-198

Persistent link: https://www.econbiz.de/10006817753

Asset Pricing When Returns Are Nonnormal: Fama-French Factors versus Higher-Order Systematic Comoments

Chung, Y.Peter; Johnson, Herb; Schill, Michael J. - In: The journal of business : B 79 (2006) 2, pp. 923-940

Persistent link: https://www.econbiz.de/10006010333

Foreign Ownership Restrictions and Equity Price Premiums: What Drives the Demand for Cross-Border Investments?

Bailey, Warren; Chung, Y.Peter; Kang, Jun-koo - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 4, pp. 489-512

Persistent link: https://www.econbiz.de/10006698801

Exchange Rate Fluctuations, Political Risk, and Stock Returns: Some Evidence from an Emerging Market

Bailey, Warren; Chung, Y.Peter - In: Journal of financial and quantitative analysis : JFQA 30 (1995) 4, pp. 541-562

Persistent link: https://www.econbiz.de/10006709333

New York stock exchange trading halts and volatility

Fong, Wai-ming - In: International review of economics & finance : IREF 5 (1996) 3, pp. 243-257

Persistent link: https://www.econbiz.de/10001214490

Information, trading and stock returns : lessons from dually-listed securities

Chan, K. C. - 1994

Persistent link: https://www.econbiz.de/10000888701

Market liquidity and FX arbitrage in emerging markets : evidence from Hong Kong tick data

Fong, Wai-ming; Valente, Giorgio; Fung, Joseph K. W. - 2008

Persistent link: https://www.econbiz.de/10003770559

Effects of large shareholding on information asymmetry and stock liquidity

Attig, Najah; Fong, Wai-ming; Gadhoum, Yoser; Lang, … - In: Journal of banking & finance 30 (2006) 10, pp. 2875-2892

Persistent link: https://www.econbiz.de/10003376485

Covered interest arbitrage profits : the role of liquidity and credit risk

Fong, Wai-ming; Valente, Giorgio; Fung, Joseph K. W. - In: Journal of banking & finance 34 (2010) 5, pp. 1098-1107

Persistent link: https://www.econbiz.de/10003971367