Chan, K C; Christie, William G; Schultz, Paul H - In: The Journal of Business 68 (1995) 1, pp. 35-60
This article examines the intraday pattern of bid-ask spreads among NASDAQ stocks. We find that spreads are relatively stable throughout the day but narrow significantly near the close. This contrasts with the U-shaped pattern for NYSE stocks reported by Brock and Kleidon and McInish and Wood....