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Stock price clustering on option expiration dates

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  • Xiaoyan Ni, Sophie
  • Pearson, Neil D.
  • Poteshman, Allen M.

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  • Xiaoyan Ni, Sophie & Pearson, Neil D. & Poteshman, Allen M., 2005. "Stock price clustering on option expiration dates," Journal of Financial Economics, Elsevier, vol. 78(1), pages 49-87, October.
    • Handle: RePEc:eee:jfinec:v:78:y:2005:i:1:p:49-87
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    References listed on IDEAS

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    1. Anthony F. Herbst & Edwin D. Maberly, 1990. "Stock index futures, expiration day volatility, and the “special” friday opening: A note," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 10(3), pages 323-325, June.
    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, June.
    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, April.
    4. Klemkosky, Robert C., 1978. "The Impact of Option Expirations on Stock Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(3), pages 507-518, September.
    5. Conrad, Jennifer, 1989. "The Price Effect of Option Introduction," Journal of Finance, American Finance Association, vol. 44(2), pages 487-498, June.
    6. Marco Avellaneda & Michael Lipkin, 2003. "A market-induced mechanism for stock pinning," Quantitative Finance, Taylor & Francis Journals, vol. 3(6), pages 417-425.
    7. G.M. Constantinides & M. Harris & R. M. Stulz (ed.), 2003. "Handbook of the Economics of Finance," Handbook of the Economics of Finance, Elsevier, edition 1, volume 1, number 1.
    8. Skinner, Douglas J., 1989. "Options markets and stock return volatility," Journal of Financial Economics, Elsevier, vol. 23(1), pages 61-78, June.
    9. 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.
    10. Harris, Lawrence, 1991. "Stock Price Clustering and Discreteness," The Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 389-415.
    11. 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, April.
    12. 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.
    13. G.M. Constantinides & M. Harris & R. M. Stulz (ed.), 2003. "Handbook of the Economics of Finance," Handbook of the Economics of Finance, Elsevier, edition 1, volume 1, number 2.
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