Day-of-the-week effect and spread determinants: Some international evidence from equity markets

Konstantinos Gkillas, Dimitrios I. Vortelinos, Vassilios Babalos and Mark Wohar ()

International Review of Economics & Finance, 2021, vol. 71, issue C, 268-288

Abstract: We study the day−of−the−week effect in relation to bid-ask spreads determinants by employing a comprehensive dataset of international equity markets from 2000 to 2015. To this end, we apply a battery of tests regarding return patterns and a panel cointegration approach. Given that there is growing evidence that stock markets behave differently on different days of the week, we find that there is significant evidence in favor of an international day−of−the−week effect concerning the impact of prices, volatility and volume on bid-ask spreads. A panel error-correction model allows us to infer a day−of−the−week effect in the speed of adjustment of spreads. Our results entail significant implications for market participants.

Keywords: Day-of-the-week effect; Bid-ask spread; Panel error-correction; Equity markets (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:71:y:2021:i:c:p:268-288

DOI: 10.1016/j.iref.2020.09.003

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