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Why Option Prices Lag Stock Prices: A Trading-based Explanation

Chan, Kalok; Chung, Y.Peter; Johnson, Herb - In: The journal of finance : the journal of the American … 48 (1993) 5, pp. 1957-1968

Persistent link: https://www.econbiz.de/10006603618

The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and CBOE Options

Chan, Kalok; Chung, Y.Peter; Johnson, Herb - In: Journal of financial and quantitative analysis : JFQA 30 (1995) 3, pp. 329-346

Persistent link: https://www.econbiz.de/10006707544

ARTICLES - Depositary Receipts, Country Funds, and the Peso Crash: The Intraday Evidence

Bailey, Warren; Chan, Kalok; Chung, Y.Peter - In: The journal of finance : the journal of the American … 55 (2000) 6, pp. 2693-2718

Persistent link: https://www.econbiz.de/10006566923

Trade size, order imbalance, and the volatility-volume relation

Chan, Kalok; Fong, Wai-Ming - In: Journal of Financial Economics 57 (2000) 2, pp. 247-273

Persistent link: https://www.econbiz.de/10005376684

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

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: Journal of Financial Research 27 (2004) 2, pp. 179-197

The August 1998 Hong Kong government intervention in the stock market offers a natural experiment for studying the relation between a free float and market liquidity, where a free float is the portion of listed share capital that is freely traded on the market. Our findings show that, relative...

Persistent link: https://www.econbiz.de/10005266653

The Informational Role of Stock and Option Volume

Chan, Kalok; Chung, Y. Peter; Fong, Wai-Ming - In: The review of financial studies 15 (2013) 4, pp. 1049-1048

Persistent link: https://www.econbiz.de/10010114452

The Informational Role of Stock and Option Volume

Chan, Kalok - 1999

This paper analyzes the intraday interdependence of price movements and order flows for actively traded NYSE stocks and their CBOE-traded options. Stock net-buy volume (buyer-initiated volume minus seller-initiated volume)has strong predictive ability for subsequent stock and option returns, but...

Persistent link: https://www.econbiz.de/10012743795

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