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Time-varying risk premia and forecastable returns in futures markets
Bessembinder, Hendrik - In: Journal of financial economics 32 (1992) 2, pp. 169-193
Persistent link: https://www.econbiz.de/10001135590
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Price volatility in the Hong Kong stock market : a test of the information and trading noise hypothesis
Chan, Kalok - In: Pacific-Basin finance journal 1 (1993) 2, pp. 189-201
Persistent link: https://www.econbiz.de/10001158618
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Intraday relationships among index arbitrage, spot and futures price volatility, and spot market volume : a transactions data test
Chan, Kalok - In: Journal of banking & finance 17 (1993) 4, pp. 663-687
Persistent link: https://www.econbiz.de/10001147074
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The profitability of index futures arbitrage : evidence from bid-ask quotes
Bae, Kee-hong - In: The journal of futures markets 18 (1998) 7, pp. 743-763
Persistent link: https://www.econbiz.de/10001249189
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Are there rational speculative bubbles in Asian stocck markets?
Chan, Kalok; McQueen, Grant R.; Thorley, Steven - In: Pacific-Basin finance journal 6 (1998) 1/2, pp. 125- 151
Persistent link: https://www.econbiz.de/10001375762
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Special issue on market microstructure
Rhee, S. Ghon (contributor); Chan, Kalok (contributor);  … - 1999
Persistent link: https://www.econbiz.de/10001450500
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Investibility and return volatility in emerging equity markets
Chan, Kalok; Bae, Kee-hong; Ng, Angela - 2002
Persistent link: https://www.econbiz.de/10001671320
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Vector autoregression or simultaneous equations model? : The intraday relationship between index arbitrage and market volatility
Chan, Kalok - In: Journal of banking & finance 19 (1995) 1, pp. 173-179
Persistent link: https://www.econbiz.de/10001181847
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Intraday volatility in the stock index and stock index futures markets
Chan, Kalok - In: The review of financial studies 4 (1991) 4, pp. 657-684
Persistent link: https://www.econbiz.de/10001120545
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All are Smart : Do Short Sellers Convey More Information than Option Investors?
Chan, Kalok - 2014
We provide a comprehensive comparison of equity short-selling activity and option market activity in predicting future returns. Three variables are constructed, namely the equity short interest ratio (SIR), put-call open interest ratio (PCOIR), and put-call buy volume ratio (PCBVR). The...
Persistent link: https://www.econbiz.de/10013068432