Lee, Jie-Haun; Lin, Ji-Chai - In: Journal of Financial Research 18 (1995) 4, pp. 479-93
The literature suggests that the bid-ask spread is responsible, at least in part, for greater price volatility and more negative autocorrelation at the open than at the close. In this study, we find that these phenomena are not related to the bid-ask spread, but are related instead to pricing...
