Chang, Chuang-Chang; Hsieh, Pei-Fang; Wang, Yaw-Huei - In: Journal of Banking & Finance 34 (2010) 1, pp. 174-183
This study follows the approach of Ni et al. [Ni, S.X., Pan, J., Poteshman, A.M., 2008. Volatility information trading in the option market. Journal of Finance 63, 1059-1091] - based upon the vega-weighted net demand for volatility - to determine whether volatility information exists within the...
