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Applied Economics Letters Volume 25, 2018 - Issue 3
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Article

Option moneyness and price disagreements

Heejin YangCollege of Economics, Sungkyunkwan University, Seoul, Republic of KoreaView further author information
,
Ali M. KutanDepartment of Economics and Finance, Southern Illinois University Edwardsville, Edwardsville, IL, USAView further author information
&
Doojin RyuCollege of Economics, Sungkyunkwan University, Seoul, Republic of KoreaCorrespondence[email protected]
View further author information
Pages 192-196 | Published online: 29 Mar 2017

References

  • Ahn, H. J., J. Kang, and D. Ryu. 2008. “Informed Trading in the Index Option Market: The Case of KOSPI 200 Options.” Journal of Futures Markets 28 (12): 1118–1146. doi:10.1002/fut.v28:12.
  • Ahn, H. J., J. Kang, and D. Ryu. 2010. “Information Effects of Trade Size and Trade Direction: Evidence from the KOSPI 200 Index Options Market.” Asia-Pacific Journal of Financial Studies 39 (3): 301–339. doi:10.1111/(ISSN)2041-6156.
  • Chakravarty, S., H. Gulen, and S. Mayhew. 2004. “Informed Trading in Stock and Option Markets.” The Journal of Finance 59 (3): 1235–1257. doi:10.1111/j.1540-6261.2004.00661.x.
  • Chung, K. H., S. G. Park, and D. Ryu. 2016. “Trade Duration, Informed Trading, and Option Moneyness.” International Review of Economics and Finance 44: 395–411. doi:10.1016/j.iref.2016.02.003.
  • Hu, J. 2014. “Does Option Trading Convey Stock Price Information?” Journal of Financial Economics 111 (3): 625–645. doi:10.1016/j.jfineco.2013.12.004.
  • Muravyev, D., N. D. Pearson, and J. P. Broussard. 2013. “Is There Price Discovery in Equity Options?” Journal of Financial Economics 107: 259–283. doi:10.1016/j.jfineco.2012.09.003.
  • Ryu, D. 2011. “Intraday Price Formation and Bid-Ask Spread Components: A New Approach Using A Cross-Market Model.” Journal of Futures Markets 31 (12): 1142–1169. doi:10.1002/fut.v31.12.
  • Ryu, D. 2015. “The Information Content of Trades: An Analysis of KOSPI 200 Index Derivatives.” Journal of Futures Markets 35 (3): 201–221. doi:10.1002/fut.v35.3.
  • Ryu, D., and H. Yang. 2017. “Price Disagreements and Adjustments in Index Derivatives Markets.” Economics Letters 151: 104–106. doi:10.1016/j.econlet.2016.12.016.
  • Sim, M., D. Ryu, and H. Yang. 2016. “Tests on the Monotonicity Properties of KOSPI 200 Options Prices.” Journal of Futures Markets 36 (7): 625–646. doi:10.1002/fut.v36.7.
  • Yang, H., H. S. Choi, and D. Ryu. 2017. “Option Market Characteristics and Price Monotonicity Violations.” Journal of Futures Markets 38 (5). doi: 10.1002/fut.21826.

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