... examine the predictive power of VPIN for the future stock market volatility using time-series regression analysis. The empirical result shows that the toxic order flow measure estimated by price changes has more information than that estimated by the actual order imbalance. In general, put options contain...

...-selling using order imbalance variables, we found that non-short selling is much more aggressive than short selling in the Korean stock market. From the observation of market liquidity measured by quoted spreads, we could find that market liquidity is somewhat limited during price decline stages while...