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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

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

The information content of option implied volatility surrounding the 1997 Hong Kong stock market crash

Fung, Joseph K. W. - In: The journal of futures markets 27 (2007) 6, pp. 555-574

Persistent link: https://www.econbiz.de/10003493107

Short sales restrictions and the impulse response behavior of index-future price

Hung, Bill W. S.; Fung, Joseph K. W. - 2001

Persistent link: https://www.econbiz.de/10001612482

Forecasting volatility : roles of sampling frequency and forecasting horizon

Chan, Wing Hong; Cheng, Xin; Fung, Joseph K. W. - In: The journal of futures markets 30 (2010) 12, pp. 1167-1191

Persistent link: https://www.econbiz.de/10008901291

The information content of model-free implied volatility

Cheng, Xin; Fung, Joseph K. W. - In: The journal of futures markets 32 (2012) 8, pp. 792-806

Persistent link: https://www.econbiz.de/10009554749

Do derivative markets contain useful information for signaling "hot money" flows?

Fung, Joseph K. W.; Webb, Robert I.; Chan, Wing Hong - In: Asia-Pacific journal of financial studies 46 (2017) 3, pp. 491-527

Persistent link: https://www.econbiz.de/10011736133

Stock Price Crash Risk and Firms’ Operating Leverage

Xin, Chang; Cheng, Louis T. W.; Kwok, Wing Chun (Kaz); … - 2022

We extend Jin and Myers’ (2006) model to derive the relation between stock price crash risk and operating leverage (i.e., the fraction of fixed costs in total costs). The model predicts that (i) firms’ operating leverage decreases as stock price crash risk increases, and (ii) the negative...

Persistent link: https://www.econbiz.de/10014235532

The impact of H-share derivatives on the underlying equity market

Wang, Steven Shuye; Li, Wei; Cheng, Louis T. W. - In: Review of quantitative finance and accounting 32 (2009) 3, pp. 235-267

Persistent link: https://www.econbiz.de/10003846977

Intraday volume and volatility relations with and without public news

Darrat, Ali F.; Zhong, Maosen; Cheng, Louis T. W. - In: Journal of banking & finance 31 (2007) 9, pp. 2711-2729

Persistent link: https://www.econbiz.de/10003572354