Gang Li

Hong Kong Polytechnic University

Associate Professor

11 Yuk Choi Rd

Hung Hom

Hong Kong

SCHOLARLY PAPERS

4

DOWNLOADS

329

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Why does Option Implied Volatility Forecast Realized Volatility? Evidence from News Events

Number of pages: 50 Posted: 18 Aug 2021
Sipeng Chen and Gang Li
Hong Kong Polytechnic University - School of Accounting and Finance and Hong Kong Polytechnic University
Downloads 131 (304,456)

Abstract:

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implied volatility, realized volatility, news arrival intensity, news magnitude, scheduled and unscheduled news, fundamental and non-fundamental news

2.

Volatility Information Transfer along the Supply Chain

Number of pages: 48 Posted: 09 Apr 2021 Last Revised: 28 Jul 2022
Wenli Huang, Gang Li and Shaojun Zhang
Hong Kong Polytechnic University, Hong Kong Polytechnic University and Hong Kong Polytechnic University
Downloads 117 (330,509)

Abstract:

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Customer-supplier relationship, Model free implied volatility, Quarterly earnings announcement, Supply chain, Volatility information transfer

3.

Jumps and Diffusive Variance: A Granular Analysis of Individual Stock Returns

HKUST Business School Research Paper No. 2021-027
Number of pages: 46 Posted: 26 Apr 2021 Last Revised: 04 Jun 2021
Gang Li, Ruicong Li and Chu Zhang
Hong Kong Polytechnic University, Hong Kong University of Science & Technology (HKUST) - Department of Finance and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 42 (570,910)

Abstract:

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Jumps, Diffusive Variance, Implied Volatility Smile

4.

Voting Rights and the Delayed Stock Price Response to Option Information

Number of pages: 48 Posted: 26 Feb 2021
Gang Li, Linti Zhang and Shaojun Zhang
Hong Kong Polytechnic University, Hong Kong Polytechnic University, School of Accounting and Finance and Hong Kong Polytechnic University
Downloads 39 (586,594)

Abstract:

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Implied volatility spread, Option to stock volume ratio, Special shareholder meeting, Value of voting right