• ISSN: 2301-3567
    • Frequency: Quarterly (2013-2014); Monthly (Since 2015)
    • DOI: 10.18178/JOEBM
    • Editor-in-Chief: Prof. Eunjin Hwang
    • Executive Editor: Ms Jessica C. Xiao
    • Abstracting/ Indexing: DOAJ, Engineering & Technology Library,  Electronic Journals Library, Ulrich's Periodicals Directory, MESLibrary, Google Scholar, Crossref, and ProQuest.
    • E-mail: joebm@ejournal.net
JOEBM 2014 Vol.2(2): 122-124 ISSN: 2301-3567
DOI: 10.7763/JOEBM.2014.V2.110

Stock Clustering Effect from Weekly Equity Options

Ge Zhang, Haiyang Chen, and Francis Cai
Abstract—Derivatives trading has become more interactive with equity transactions recently. One of those interactions is the stock clustering effect around option expiration days. This paper examines stock clustering effects from 2010 to 2012 when weekly equity options became available to the public. With 96 common stocks with weekly options traded in the available period, we show that stock clustering effect still exists on expiration days for listed monthly options, but this effect is much weaker for newly listed weekly options. Besides studying this average sample effect, we find an interesting result when we take a closer look at firm-specific effect. Only a limited number of firms have this clustering effect, and close to three quarters of the firms show no clustering effect at all. All these results demonstrate that stock clustering on option expiration days is not uniform for all stocks.

Index Terms—Stock clustering, weekly options, expiration dates.

The authors are with William Patterson University, Wayne, NJ 07074 (e-mail: zhangg2@wpunj.edu, chenh@wpunj.edu, caif@wpunj.edu).

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Cite:Ge Zhang, Haiyang Chen, and Francis Cai, "Stock Clustering Effect from Weekly Equity Options," Journal of Economics, Business and Management vol. 2, no. 2, pp. 122-124, 2014.

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