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Option Market Characteristics and Price Monotonicity Violations

Title
Option Market Characteristics and Price Monotonicity Violations
Authors
Yang H.Choi H.-S.Ryu D.
Ewha Authors
최형석
SCOPUS Author ID
최형석scopus
Issue Date
2017
Journal Title
Journal of Futures Markets
ISSN
0270-7314JCR Link
Citation
vol. 37, no. 5, pp. 473 - 498
Publisher
Wiley-Liss Inc.
Indexed
SSCI; SCOPUS WOS scopus
Abstract
This study reexamines whether option price monotonicity properties hold in a liquid market with little market friction and considers the validity of the monotonicity properties in light of option market characteristics. We confirm that option prices do not monotonically correlate with underlying spot prices and that call and put prices often increase or decrease together, indicating that the monotonicity properties are not consistent with the observed option price dynamics. The violations of monotonicity properties are associated with not only market microstructure effects, trade sizes, and option leverage but also other market characteristics such as trade direction, individual investor demand, foreign investor trading, and market volatility. Violation occurrences tend to be clustered, and their relationship with option market characteristics has not been affected by the recent market reform. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:473–498, 2017. © 2016 Wiley Periodicals, Inc.
DOI
10.1002/fut.21826
Appears in Collections:
경영대학 > 경영학전공 > Journal papers
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