Spurlin, W. Paul; Ness, Bonnie F. Van; Ness, Robert A. Van - In: International Review of Economics & Finance 17 (2008) 2, pp. 245-257
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...