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


  • Itzhak Krinsky
  • Jason Lee


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.

Suggested Citation

  • Itzhak Krinsky & Jason Lee, 1997. "Quarterly Earnings Announcements and the Lead/Lag Relationship between the Stock and Option Markets," Quantitative Studies in Economics and Population Research Reports 328, McMaster University.
  • Handle: RePEc:mcm:qseprr:328

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    References listed on IDEAS

    1. Denton, Frank T. & Gafni, Amiram & Spencer, Byron G., 1995. "The SHARP way to plan health care services: A description of the system and some illustrative applications in nursing human resource planning," Socio-Economic Planning Sciences, Elsevier, vol. 29(2), pages 125-137, June.
    2. Frank T. Denton & Christine H. Feaver & Byron G. Spencer, 1996. "The Future Population of Canada and Its Age Distribution," Independence and Economic Security of the Older Population Research Papers 3, McMaster University.
    3. Peter A. Diamond, 1996. "Proposals to Restructure Social Security," Journal of Economic Perspectives, American Economic Association, vol. 10(3), pages 67-88, Summer.
    4. Frank Denton & Byron Spencer, 1999. "How old is old? Revising the definition based on life table criteria," Mathematical Population Studies, Taylor & Francis Journals, vol. 7(2), pages 147-159.
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    More about this item


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

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing


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