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Seasonality in the Option Market
Author(s) -
Dickinson Amy,
Peterson David R.
Publication year - 1989
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1989.tb00358.x
Subject(s) - seasonality , stock (firearms) , economics , january effect , names of the days of the week , financial economics , stock market , geography , mathematics , statistics , context (archaeology) , archaeology , linguistics , philosophy
This study examines call and put option returns from 1983 to 1985 for the presence of a January seasonal effect, a monthly effect, and a day‐of‐the‐week effect. Results in dicate the presence of seasonality in call returns, with returns significantly higher in early January and significantly lower on Mondays. Put returns generally exhibit less seasonality, although out‐of‐the‐money put options are significantly lower in January and in‐the‐money put options are significantly lower in early January. These results are generally consistent with stock return patterns.