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- W2555759085 endingPage "498" @default.
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- W2555759085 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" @default.
- W2555759085 created "2016-11-30" @default.
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- W2555759085 date "2016-11-22" @default.
- W2555759085 modified "2023-10-08" @default.
- W2555759085 title "Option Market Characteristics and Price Monotonicity Violations" @default.
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- W2555759085 doi "https://doi.org/10.1002/fut.21826" @default.
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