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Applied Economics Letters Volume 25, 2018 - Issue 10
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Original Articles

Market depth, domestic investors and price monotonicity violations

Heejin YangCollege of Economics, Sungkyunkwan University, Seoul, Republic of KoreaView further author information
,
Jaeram LeeCollege of Business, Gachon University, Seongnam-si, Gyeonggi-do, Republic of KoreaView further author information
&
Doojin RyuCollege of Economics, Sungkyunkwan University, Seoul, Republic of KoreaCorrespondence[email protected]
View further author information
Pages 688-692 | Published online: 07 Aug 2017

References

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  • Bakshi, G., C. Cao, and Z. Chen. 2000. “Do Call Prices and the Underlying Stock Always Move in the Same Direction?” Review of Financial Studies 13 (3): 549–584. doi:10.1093/rfs/13.3.549.
  • Chung, K. H., S. G. Park, and D. Ryu. 2016. “Trade Duration, Informed Trading, and Option Moneyness.” International Review of Economics & Finance 44: 395–411. doi:10.1016/j.iref.2016.02.003.
  • Ehrenstein, G., F. Westerhoff, and D. Stauffer. 2005. “Tobin Tax and Market Depth.” Quantitative Finance 5 (2): 213–218. doi:10.1080/14697680500041064.
  • Kim, J. S., and D. Ryu. 2015. “Are the KOSPI 200 Implied Volatilities Useful in Value-at-Risk Models?” Emerging Markets Review 22: 43–64. doi:10.1016/j.ememar.2014.11.001.
  • Lin, C. Y., D. H. Chen, and C. Y. Tsai. 2011. “The Limitation of Monotonicity Property of Option Prices: An Empirical Evidence.” Applied Economics 43 (23): 3103–3113. doi:10.1080/00036840903427265.
  • Pérignon, C. 2006. “Testing the Monotonicity Property of Option Prices.” The Journal of Derivatives 14 (2): 61–76. doi:10.3905/jod.2006.667551.
  • 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. 2016. “Considering All Microstructure Effects: The Extension of a Trade Indicator Model.” Economics Letters 146: 107–110. doi:10.1016/j.econlet.2016.07.025.
  • 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 37 (5): 473–498. doi:10.1002/fut.v37.5.

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