Advanced Search
MyIDEAS: Login to save this paper or follow this series

Quarterly Earnings Announcements and the Lead/Lag Relationship between the Stock and Option Markets

Contents:

Author Info

  • Itzhak Krinsky
  • Jason Lee
Registered author(s):

    Abstract

    Using intraday data, this study examines the lead/lag relations of prices and trading activity between the option and stock option markets during the period surrounding quarterly earnings announcements. We are unable to support Stephan and Whaley's (1990) findings that, in general, trading activity in stocks leads trading activity in options. Our results suggest that in the pre- and post- earnings announcements periods, trading activity in options generally leads trading activity in stocks. The lead varies from 15 minutes two trading days prior to the quarterly earnings announcements to 30 minutes one day prior and on the day of the announcements. The results are robust to various measures of trading activity but sensitive to the sample design. Using the averages of bid-ask prices, we are able to confirm Chan, Chung, and Johnson's (1993) results in that we find no systematic lead of option average bid-ask prices over that of stocks in the days surrounding earnings announcements.

    Download Info

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Bibliographic Info

    Paper provided by McMaster University in its series Quantitative Studies in Economics and Population Research Reports with number 328.

    as in new window
    Length: 24 pages
    Date of creation: May 1997
    Date of revision:
    Handle: RePEc:mcm:qseprr:328

    Contact details of provider:
    Postal: 1280 Main Street West, Hamilton, Ontario, L8S 4M4
    Phone: (905) 525-9140 ext. 22765
    Fax: (905) 521-8232
    Email:
    Web page: http://www.mcmaster.ca/economics/
    More information through EDIRC

    Related research

    Keywords: quarterly earning announcements; stock markets; option markets; trading activity;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:mcm:qseprr:328. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.