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

Paresh Narayan (), Sagarika Mishra and Seema Narayan ()

The Quarterly Review of Economics and Finance, 2014, vol. 54, issue 1, 51-60

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.

Keywords: Bid-ask spread; Day-of-the-week; Panel Error Correction; Sectors (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:54:y:2014:i:1:p:51-60

DOI: 10.1016/j.qref.2013.07.008

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