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Open volume and time to open on option-expiration days

Author

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  • Spurlin, W. Paul
  • Van Ness, Bonnie F.
  • Van Ness, Robert A.

Abstract

We examine the volume and time to open for stocks on option-expiration Fridays. We show that previous findings of abnormal daily volume on option-expiration Fridays can be largely explained by the large volume of trading in the batch opening for stocks that trade on the NYSE and not by an increase in volume over the remainder of the day. We also find that there is an increase in the time to open for stocks on triple-witching Fridays and a decrease in the time to open for stocks on non-quarterly, option-expiration Fridays.

Suggested Citation

  • Spurlin, W. Paul & Van Ness, Bonnie F. & Van Ness, Robert A., 2008. "Open volume and time to open on option-expiration days," International Review of Economics & Finance, Elsevier, vol. 17(2), pages 245-257.
    • Handle: RePEc:eee:reveco:v:17:y:2008:i:2:p:245-257
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    References listed on IDEAS

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    1. 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.
    2. Stoll, Hans R & Whaley, Robert E, 1990. "Program Trading and Individual Stock Returns: Ingredients of the Triple-Witching Brew," The Journal of Business, University of Chicago Press, vol. 63(1), pages 165-192, January.
    3. Charles Cao & Eric Ghysels & Frank Hatheway, 2000. "Price Discovery without Trading: Evidence from the Nasdaq Preopening," Journal of Finance, American Finance Association, vol. 55(3), pages 1339-1365, June.
    4. Madhavan, Ananth & Panchapagesan, Venkatesh, 2000. "Price Discovery in Auction Markets: A Look Inside the Black Box," The Review of Financial Studies, Society for Financial Studies, vol. 13(3), pages 627-658.
    5. Stoll, Hans R & Whaley, Robert E, 1990. "Stock Market Structure and Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 37-71.
    6. Brooks, Raymond M. & Su, Tie, 1997. "A Simple Cost Reduction Strategy for Small Liquidity Traders: Trade at the Opening," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(4), pages 525-540, December.
    7. Suits, Daniel B, 1984. "Dummy Variables: Mechanics v. Interpretation," The Review of Economics and Statistics, MIT Press, vol. 66(1), pages 177-180, February.
    8. Bruno Biais & Pierre Hillion & Chester Spatt, 1999. "Price Discovery and Learning during the Preopening Period in the Paris Bourse," Journal of Political Economy, University of Chicago Press, vol. 107(6), pages 1218-1248, December.
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    Cited by:

    1. Ahoniemi, Katja & Lanne, Markku, 2010. "Realized volatility and overnight returns," Bank of Finland Research Discussion Papers 19/2010, Bank of Finland.
    2. repec:zbw:bofrdp:2010_019 is not listed on IDEAS
    3. Ahoniemi, Katja & Lanne, Markku, 2010. "Realized volatility and overnight returns," Research Discussion Papers 19/2010, Bank of Finland.
    4. Ahoniemi, Katja & Lanne, Markku, 2013. "Overnight stock returns and realized volatility," International Journal of Forecasting, Elsevier, vol. 29(4), pages 592-604.

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