Chayawat Ornthanalai

University of Toronto — Canada

Economics, Econometrics and Finance · Social Sciences

15h-index1.4kcitations41works1.72yr avg
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Research Topics

Financial Markets and Investment Strategies(29), Stochastic processes and financial applications(21), Capital Investment and Risk Analysis(13), Market Dynamics and Volatility(8), Credit Risk and Financial Regulations(7)

Publications41 total

What is the Role of the Options Market? Evidence from Newly Public Companies
SSRN Electronic Journal·2025Open Access
Do S&P500 Options Increase Market Volatility? Evidence from 0DTEs
SSRN Electronic Journal·2025Open Access
The Market for 0-Days-to-Expiration: The Role of Liquidity Providers in Volatility Attenuation
SSRN Electronic Journal·2024· 5 citedOpen Access
Speed and Expertise in Stock Picking: Older, Slower, and Wiser?
Journal of Financial and Quantitative Analysis·2022· 8 citedOpen Access
Time-Varying Crash Risk: The Role of Stock Market Liquidity
RePEc: Research Papers in Economics·2021· 1 citedOpen Access
Asymmetries and the Market for Put Options
SSRN Electronic Journal·2021· 4 citedOpen Access
Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity
European Finance Review·2020· 11 cited
The Term Structure of Expected Recovery Rates
Journal of Financial and Quantitative Analysis·2018· 1 cited
Do Credit Default Swaps Mitigate the Impact of Credit Rating Downgrades?
European Finance Review·2018· 40 citedOpen Access
Remembering Peter Christoffersen (1967–2018)
The Journal of Derivatives·2018
Fluctuating attention and financial contagion
Journal of Monetary Economics·2018· 28 cited
Time-Varying Crash Risk: The Role of Stock Market Liquidity
SSRN Electronic Journal·2016· 9 citedOpen Access
Fluctuating Attention and Contagion: Theory and Evidence from the U.S. Equity Market
SSRN Electronic Journal·2015· 2 citedOpen Access
Speed and Expertise in Stock Picking: Older, Slower, and Wiser?
SSRN Electronic Journal·2015· 6 citedOpen Access
The Power of Economic Networks: Investor Recognition through Supply-Chain Relationships
SSRN Electronic Journal·2015· 3 citedOpen Access
Trading Cost Dynamics of Market Making in Equity Options
SSRN Electronic Journal·2014· 6 citedOpen Access
Trading Cost Dynamics of Market Making in Equity Options
SSRN Electronic Journal·2014· 16 citedOpen Access
Lévy jump risk: Evidence from options and returns
Journal of Financial Economics·2013· 140 cited
GARCH Option Valuation:<i>Theory and Evidence</i>
The Journal of Derivatives·2013· 52 cited
GARCH Option Valuation:<i>Theory and Evidence</i>
The Journal of Derivatives·2013· 4 cited
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Frequent Co-authors

Peter Christoffersen(15), Kris Jacobs(14), Redouane Elkamhi(5), Jonathan Clarke(3), Sudheer Chava(3), Rohan Ganduri(3), Bruno Feunou(3), Yoontae Jeon(3), Daniel Bradley(2), Michael Hasler(2), Ruslan Goyenko(2), Shengzhe Tang(2), Romain Boulland(2), Kent L. Womack(2), Greg Adams(2), Jean‐Sébastien Fontaine(2), Thomas J. Chemmanur(2), Y WANG(1), Suzanne Lee(1), Yintian Wang(1)