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Stock price clustering on option expiration dates

  • Xiaoyan Ni, Sophie
  • Pearson, Neil D.
  • Poteshman, Allen M.
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    File URL: http://www.sciencedirect.com/science/article/B6VBX-4G361PX-2/2/67d40c2040b236b762944daff8e92618
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    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 78 (2005)
    Issue (Month): 1 (October)
    Pages: 49-87

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    Handle: RePEc:eee:jfinec:v:78:y:2005:i:1:p:49-87
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576

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    1. Per Alkeback & Niclas Hagelin, 2004. "Expiration day effects of index futures and options: evidence from a market with a long settlement period," Applied Financial Economics, Taylor & Francis Journals, vol. 14(6), pages 385-396.
    2. G. D. Hancock, 1991. "Futures option expirations and volatility in the stock index futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(3), pages 319-330, 06.
    3. Mark M. Carhart & Ron Kaniel & David K. Musto & Adam V. Reed, 2002. "Leaning for the Tape: Evidence of Gaming Behavior in Equity Mutual Funds," Journal of Finance, American Finance Association, vol. 57(2), pages 661-693, 04.
    4. Harris, Lawrence, 1991. "Stock Price Clustering and Discreteness," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 389-415.
    5. Conrad, Jennifer, 1989. " The Price Effect of Option Introduction," Journal of Finance, American Finance Association, vol. 44(2), pages 487-98, June.
    6. Klemkosky, Robert C., 1978. "The Impact of Option Expirations on Stock Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(03), pages 507-518, September.
    7. Skinner, Douglas J., 1989. "Options markets and stock return volatility," Journal of Financial Economics, Elsevier, vol. 23(1), pages 61-78, June.
    8. Marco Avellaneda & Michael Lipkin, 2003. "A market-induced mechanism for stock pinning," Quantitative Finance, Taylor & Francis Journals, vol. 3(6), pages 417-425.
    9. Raman Kumar & Atulya Sarin & Kuldeep Shastri, 1998. "The Impact of Options Trading on the Market Quality of the Underlying Security: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 53(2), pages 717-732, 04.
    10. Detemple, Jerome & Jorion, Philippe, 1990. "Option listing and stock returns : An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 14(4), pages 781-801, October.
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