Affordable Access

Publisher Website

Spread determinants and the day-of-the-week effect

Authors
Publisher
Elsevier Inc.
Volume
54
Issue
1
Identifiers
DOI: 10.1016/j.qref.2013.07.008
Keywords
  • Bid-Ask Spread
  • Day-Of-The-Week
  • Panel Error Correction
  • Sectors

Abstract

Abstract In this paper, we examine the determinants of the dollar bid–ask spread for each day of the week over the period 1998–2008. Using a panel cointegration approach, we estimate the determinants of the spread in both the short-run and long-run. Our main findings suggest that: (1) there are day-of-the-week effects for certain groups of firms; (2) the panel error correction model also reveals day-of-the-week effects, and the speed of adjustment to equilibrium following a shock is faster on Fridays; and (3) the effects of volume and volatility on the spread are mixed, with only some sectors experiencing the day-of-the-week effect.

There are no comments yet on this publication. Be the first to share your thoughts.

Statistics

Seen <100 times
0 Comments

More articles like this

A week and a day.

on British journal of addiction September 1984

Day-of-the-week effect on the Paris Bourse

on Journal of Banking & Finance Jan 01, 1990

Time-of-day and day-of-week effects on mnemonic pe...

on Chronobiology international July 1999

THE DAY OF THE WEEK.

on Science Nov 18, 1898
More articles like this..