Seasonality in NASDAQ Dealer Spreads
This paper examines the seasonal behavior of proportional dealer spreads for OTC NASDAQ common stocks. Results indicate there is seasonality in dealer spreads. Spreads tend to be larger in the second half of the calendar year, peaking in December. At the turn-ofthe-year, spreads tend to peak in mid- to late December and then recede during January. The last trading day in December produces the largest daily decline in spreads during the turn-of-the-year period.
Year of publication: |
1989
|
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Authors: | Fortin, Richard D. ; Grube, R. Corwin ; Joy, O. Maurice |
Published in: |
Journal of Financial and Quantitative Analysis. - Cambridge University Press. - Vol. 24.1989, 03, p. 395-407
|
Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
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